Testing of Fractional Cointegration in Macroeconomic Time Series

Luis Gil-Alana

No 09/03, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: 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 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 and Granger (1987) is also carried out at the end of the article.

JEL-codes: C15 C22 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2003-05-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

Published, Oxford Bulletin of Economics and Statistics, 2003, vol. 65(4): pp. 517-529

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