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A note on fractional cointegration

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  • Peter Sephton

Abstract

In this note I point to a typographical error in a recent paper by Baillie and Bollerslev (1994), and I provide a test - with simulated critical values - for fractional cointegration among seven daily currencies.

Suggested Citation

  • Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 683-685.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:10:p:683-685
    DOI: 10.1080/135048596355934
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    1. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
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    Cited by:

    1. P. S. Sephton, 2002. "Fractional cointegration: Monte Carlo estimates of critical values, with an application," Applied Financial Economics, Taylor & Francis Journals, vol. 12(5), pages 331-335.
    2. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
    3. Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.

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