Working Paper n o 09 / 03 Testing of Fractional Cointegration in Macroeconomic Time Series

  title={Working Paper n o 09 / 03 Testing of Fractional Cointegration in Macroeconomic Time Series},
  author={Luis A. Gil-Alana},
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the individual series and then, testing the degree of integration of the residuals from the cointegrating relationship. Finite-sample critical values of the new tests are computed and Monte Carlo experiments are… CONTINUE READING

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