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Fractional cointegration: Monte Carlo estimates of critical values, with an application

Listed author(s):
  • P. S. Sephton

A fractionally integrated series is mean-reverting, and may be covariance stationary. Recent interest in fractional integration has been extended to tests of whether series are fractionally cointegrated. This article provides simulated critical values for use in tests of fractional cointegration for up to six variables, over a number of sample sizes. An example illustrates the potential merits of tests for fractional cointegration.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100110086096
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Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 12 (2002)
Issue (Month): 5 ()
Pages: 331-335

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Handle: RePEc:taf:apfiec:v:12:y:2002:i:5:p:331-335
DOI: 10.1080/09603100110086096
Contact details of provider: Web page: http://www.tandfonline.com/RAFE20

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  1. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-181, March.
  2. Sephton, Peter S, 1991. "Commodity Prices: Policy Target or Information Variable: A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(2), pages 260-266, May.
  3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  5. N/A, 1996. "Note:," Foreign Trade Review, , vol. 31(1-2), pages 1-1, January.
  6. Diebold, Francis X & Gardeazabal, Javier & Yilmaz, Kamil, 1994. " On Cointegration and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 727-735, June.
  7. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
  8. Peter Sephton, 1996. "A note on fractional cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 683-685.
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