Testing for time-varying fractional cointegration using the bootstrap approach

Kisu Simwaka

MPRA Paper from University Library of Munich, Germany

Abstract: Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.

Keywords: Time-varying fractional cointegration; bootstrap procedure (search for similar items in EconPapers)
JEL-codes: C15 C22 C52 (search for similar items in EconPapers)
Date: 2012-06-26
New Economics Papers: this item is included in nep-ecm and nep-ets
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