Since the seminal work of Engle and Granger (1987) and Johansen (1988), testing for cointegration has become standard … practice in analysing economic and financial time series data. Many of the techniques in cointegration analysis require the …-varying second moments and it is unclear how these characteristics affect the standard test of cointegration, such as Johansen …

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 vectors …