cointegration and fractional cointegration approaches. The findings from Engle and Granger cointegration test indicate that … inflation and nominal interest rate series are cointegrated. Since the conventional cointegration tests do not provide strong … evidence on the long run relationship, we also use fractional cointegration definition suggested by Cheung and Lai (J Bus Econ …

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 …