and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time … distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in …

In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of … Breitung (2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new …

This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by … cointegration and globally stationary D-LSTR cointegration under the alternative. As a result of the identification problem the …

foreign exchange markets to see whether there is fractional cointegration between the markets in one trading zone or for one …. Applying a purely semiparametric approach through the whole analysis shows fractional cointegration can only be found for a …

existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher …