A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is… (More)

This paper discusses inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d b; where d > 1=2… (More)

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than… (More)

The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors,… (More)

Seemingly absent from the arsenal of currently available nearly e¢ cient testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable… (More)

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the effi cient market hypothesis, stating that spot and futures prices of a commodity should… (More)

In an important generalization of zero frequency autoregressive unit root tests, Hylleberg, Engle, Granger, and Yoo (1990) developed regression-based tests for unit roots at the seasonal frequencies… (More)

This paper presents a family of simple nonparametric tests of the autoregressive unit root hypothesis. The tests are constructed as a ratio of the sample variance of the observed series and that of a… (More)

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued… (More)

a r t i c l e i n f o Keywords: FIEGARCH-M Financial crises Financial leverage International markets Long memory Risk–return tradeoff Stock returns Volatility feedback We investigate the impact of… (More)