Rodrigues, Paulo M. M.; Sibbertsen, Philipp; Voges, Michelle - 2019 - This version: June 25, 2019
In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of a fractional cointegrating relationship are introduced. The tests proposed are based on the supremum of the Hassler and Breitung (2006) test statistic for no cointegration over...