Cheung, Yin-Wong; Lai, Kon S - In: Journal of Business & Economic Statistics 11 (1993) 1, pp. 103-12
A generalized.notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity hypothesis. By allowing deviations from equilibrium to follow a fractional process, the fractional cointegration analysis can capture a wider range of mean...