We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …