Hassler, Uwe; Breitung, Jörg - 2002 - This version: November 14, 2002
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this paper we propose a test for the null hypothesis of no cointegration. It builds on a static cointegration regression of the levels of the variables as a first step. In a second step, a univariate...
