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Testing for fractional cointegration in subsamples by allowing for structural breaks

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  • Kreye, Tom Jannik

Abstract

This paper proposes tests for fractional cointegration accommodating structural breaks via a time-varying memory parameter in the cointegration error. Monte Carlo simulations demonstrate that the proposed tests exhibit superior finite sample performance relative to their full-sample competitor.

Suggested Citation

  • Kreye, Tom Jannik, 2026. "Testing for fractional cointegration in subsamples by allowing for structural breaks," Statistics & Probability Letters, Elsevier, vol. 227(C).
    • Handle: RePEc:eee:stapro:v:227:y:2026:i:c:s0167715225001634
    DOI: 10.1016/j.spl.2025.110518
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    References listed on IDEAS

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