Testing for time-varying fractional cointegration using the bootstrap approach
Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.
|Date of creation:||26 Jun 2012|
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- Johansen, Søren, 1995.
"A Stastistical Analysis of Cointegration for I(2) Variables,"
Cambridge University Press, vol. 11(01), pages 25-59, February.
- Johansen, S., 1991. "A Statistical Analsysis of Cointegration for I(2) Variables," Papers 77, Helsinki - Department of Economics.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
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