for the cointegration rank test are also briefly 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 …

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

as well as the possibility of fractional cointegration. The model is relevant in describing the price dynamics of …

fractional cointegration at some grid points when conditioning on the states …

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

Fractional cointegration imposes restrictions on the zero-frequency behavior of a time series. In a multivariate time …

Cointegration imposes restrictions on the frequency domain behavior of a time series at the zero-frequency. We derive … integrated of order d with r cointegrating relations, given by the rows of [I_{r};B1], where the cointegration errors are … the gain is the matrix of cointegrating coefficients. Extensions to noncontemporaneous cointegration, seasonal …