memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating …

memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating …

allow for fractional cointegration and breaks in these fractional relations with possible deterministic trends. To estimate … behavior of our test and compare it to the one by Wagner and Wied (2017) in different scenarios of fractional cointegration. To …

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … taking the extremum of a residual-based fractional cointegration test applied to different subsamples of the data. The …

In this paper, we introduce test procedures for no fractional cointegration against possible breaks to a fractional …

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … taking the extremum of a residual-based fractional cointegration test applied to different subsamples of the data. The …

allow for fractional cointegration and breaks in these fractional relations with possible deterministic trends. To estimate … behavior of our test and compare it to the one by Wagner and Wied (2017) in different scenarios of fractional cointegration. To …