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An enlarged definition of cointegration

Author

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  • Renato Flôres
  • Ariane Szafarz

Abstract

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Suggested Citation

  • Renato Flôres & Ariane Szafarz, 1996. "An enlarged definition of cointegration," ULB Institutional Repository 2013/705, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/705
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    Cited by:

    1. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
    2. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
    3. Ghosh, Suvankar & Troutt, Marvin D. & Thornton, John H. & Felix Offodile, O., 2010. "An empirical method for assessing the research relevance gap," European Journal of Operational Research, Elsevier, vol. 201(3), pages 942-948, March.
    4. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
    5. Michał Majsterek, 2012. "Cointegration Analysis in the Case of I(2) – General Overview," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(4), pages 215-252, December.
    6. Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
    7. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    8. Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
    9. Lin, Yan-Xia & McCrae, Michael & M. Gulati, Chandra, 1998. "Cointegration between exchange rates: a generalized linear cointegration model," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 333-352, September.
    10. Benjamin Tabak, 2009. "Testing the expectations hypothesis in the Brazilian term structure of interest rates: a cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 41(21), pages 2681-2689.
    11. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.

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