Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this paper we propose a test for the null hypothesis of no cointegration. It builds on a static cointegration regression of the levels of the variables as a first step. In a second step, a univariate...

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is...