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

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 … addressed here by allowing for a time-dependent memory parameter for the cointegration error. The tests are implemented by …

We extend the monitoring of structural breaks in classic cointegration proposed by Wagner and Wied (2017) to explicitly … 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 …

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …

Luetkephol (2000) cointegration approach is then employed to determine the long-run drivers of economic growth. This … cointegration technique accommodates potential structural breaks that could undermine the existence of a long-run relationship …

cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that … the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the …