with examples taken from mixture models, structural VARs, and cointegration …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …

limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending the result for I(2) models with …) where asymptotic inference is discussed in detail for one of the cointegration parameters. To illustrate, an empirical …