We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use … provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a … not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

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 …

fractionally differenced data. In the estimation, we use a computationally convenient equation-by-equation conditional … asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing … desirable properties for our estimation method. Finally, an empirical application to the long-run relationship between real GDP …

change in operating procedures of the Fed in September 1979. This finding casts some doubts on cointegration tests of the …