Distribution-free Tests of Fractional Cointegration

@inproceedings{HUALDE2006DistributionfreeTO,
  title={Distribution-free Tests of Fractional Cointegration},
  author={JAVIER HUALDE and Universidad de Navarra and Carlos Velasco},
  year={2006}
}
We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series+ Our test statistics have an asymptotic chi-square distribution under the null and rely on generalized least squares–type of corrections that control for the short-run correlation of the weak dependent components of the fractionally integrated processes+ We emphasize corrections based on nonparametric modelization of… CONTINUE READING
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