We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

test for cointegration rank, which is a functional of fractional Brownian motion of type II. -- Cofractional processes … ; cointegration rank ; fractional cointegration ; likelihood inferencw ; vector autoregressive model …

We suggest improved tests for cointegration rank in the vector au- toregressive (VAR) model and develop asymptotic … local power of the proposed tests dominates that of existing cointegration rank tests. -- Cointegration rank ; efficiency …

-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …

for the cointegration rank test are also brie y discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …