integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. Tests for the … equality of integration orders are particular cases of more general tests of linear restrictions among memory parameters of …

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown … of ν, both in case of “strong cointegration” (when the difference between integration orders of observables and … χ2 limit distribution, irrespective of whether integration orders are known or estimated. The regularity conditions …

in case of "strong cointegration" (whenthe difference between integration orders of observables and cointegrating errors … on the integration orders and spectral density estimates, but we check these undermore primitive conditions on particular … semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0 …

integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. Tests for the … equality of integration orders are particular cases of more general tests of linear restrictions among memory parameters of …

which the respective integration orders are 1 and 0 is nested, but these values have typically been assumed known. We allow … limit distributions), irrespective of whether the integration orders are known or unknown, subject in the latter case to …

cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is … normal asymptotics (yielding Wald test statistics with null limit distributions), irrespective of whether the integration … orders are known or unknown, subject in the latter case to their estimation with adequate rates of convergence. The …