We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …