Fractional cointegration: Monte Carlo estimates of critical values, with an application

Peter Sephton ()

Applied Financial Economics, 2002, vol. 12, issue 5, 331-335

Abstract: A fractionally integrated series is mean-reverting, and may be covariance stationary. Recent interest in fractional integration has been extended to tests of whether series are fractionally cointegrated. This article provides simulated critical values for use in tests of fractional cointegration for up to six variables, over a number of sample sizes. An example illustrates the potential merits of tests for fractional cointegration.

Date: 2002
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DOI: 10.1080/09603100110086096

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