We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration … when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen …'s procedure to the fractional cointegration case. The standard cointegration analysis only considers the assumption that …

co-integration, Vector Autoregressive Model and Vector Error Correction Model are employed to identify the long-run and …