Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...

Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...

By allowing deviations from equilibrium to follow a fractionally integrated process, the notion of fractional cointegration analysis encompasses a wide range of mean-reverting behaviors. For fractional cointegrations, asymptotic theories have been extensively studied, and numerous empirical...