Two problems exist in testing for (co-)integration. One is that current definitions of fractional integration in the time-domain can be incomplete. The other is that disregarding fractional orders of integration can cause incorrectly-sized inference about cointegration. This paper completes the...

Two variables are said to be cointegrated when they move closely together over time, after proper scaling. Cointegration was taken to be the statistical expression of the notion of equilibrium in economics. But is it still possible to talk of cointegration when 'disequilibrium' economics...