the maximum likelihood (ML) estimators of the matrix of the cointegration relations, the degree of fractional … cointegration, the matrix of the speed of adjustment to the equilibrium parameters and the variance-covariance matrix of the error … consistent estimates and provide their asymptotic distributions. The cointegration matrix is asymptotically mixed normal …

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 …

estimator whose limit distribution theory corresponds to the prototypical pure (i.e., exogenous covariate) cointegration case … econometric estimation and testing techniques in the cointegration literature to accommodate time variation and complications of …

presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which …

and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength <0.5). Therefore our …

between regimes. This is a nonregular problem due to the presence of cointegration and nonlinearity. Second, we obtain the …

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, amp;#946;, between the …