A note on fractional cointegration

Peter Sephton ()

Applied Economics Letters, 1996, vol. 3, issue 10, 683-685

Abstract: In this note I point to a typographical error in a recent paper by Baillie and Bollerslev (1994), and I provide a test - with simulated critical values - for fractional cointegration among seven daily currencies.

Date: 1996
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DOI: 10.1080/135048596355934

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