for testing the null hypothesis of no cointegration against alternatives that are fractionally cointegrated. Fractional … cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero …. It is found that the null hypothesis of no cointegration cannot be rejected for Japan. In contrast, there is some …

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

presentation carefully outlines all means that have been used to cope with shifts in coefficients of the cointegration relations. A …