Testing of Fractional Cointegration in Macroeconomic Time Series

Luis A. Gil‐Alana
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

Oxford Bulletin of Economics and Statistics, 2003, vol. 65, issue 4, 517-529

Abstract: We propose in this article a two‐step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson's (Journal of the American Statistical Association, Vol. 89, p. 1420) univariate tests and is similar in spirit to the one proposed by Engle & Granger (Econometrica, Vol. 55, p. 251), 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 conducted to examine the size and the power properties of the tests in finite samples. An empirical application, using the same datasets as in Engle & Granger (Econometrica, Vol. 55, p. 251) and Campbell & Shiller (Journal of Political Economy, Vol. 95, p. 1062), is also carried out at the end of the article.

Date: 2003
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https://doi.org/10.1111/1468-0084.t01-1-00048

Related works:
Working Paper: Testing of Fractional Cointegration in Macroeconomic Time Series (2003)
Working Paper: Testing of fractional cointegration in macroeconomic time series (2000)
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