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Journal of Applied Statistics Volume 27, 2000 - Issue 7
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Original Articles

On the robustness of cointegration tests when series are fractionally intergrated

Jesús Gonzalo Department of Statistics and Econometrics, Universidad Carlos III de Madrid, Spain
&
Tae-Hwy Lee Department of Economics, University of California, Riverside, USA
Pages 821-827 | Published online: 02 Aug 2010

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Read on this site (3)

Hao Jin & Si Zhang. (2018) Spurious regression between long memory series due to mis-specified structural breaks. Communications in Statistics - Simulation and Computation 47:3, pages 692-711.
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Nafeesa Yunus. (2016) Modelling interactions among the housing market and key US sectors. Journal of Property Research 33:2, pages 121-146.
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Nafeesa Yunus & PeggyE. Swanson. (2007) Modelling Linkages between US and Asia‐Pacific Securitized Property Markets. Journal of Property Research 24:2, pages 95-122.
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Articles from other publishers (18)

Sascha Keil. (2022) The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence. The World Economy 46:5, pages 1235-1263.
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Fu-Lai Lin. (2023) A Comparative Analysis of Hedging Determination for Three Alternative International Equity Index Futures. Review of Pacific Basin Financial Markets and Policies 26:01.
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Heni Boubaker, Mouna Ben Saad Zorgati & Nawres Bannour. (2021) Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis. Economic Analysis and Policy 71, pages 592-608.
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Nikolas Stege, Christoph Wegener, Tobias Basse & Frederik Kunze. (2020) Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. Annals of Operations Research 297:1-2, pages 309-321.
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Ramya Rajajagadeesan AroulPeggy E. Swanson. (2018) Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA. Journal of Emerging Market Finance 17:3, pages 333-353.
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Wajira Dassanayake & Chandimal Jayawardena. (2017) Determinants of stock market index movements: Evidence from New Zealand stock market. Determinants of stock market index movements: Evidence from New Zealand stock market.
Giorgio Canarella & Stephen M Miller. (2016) Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach. Eastern Economic Journal 43:1, pages 78-103.
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Vipul Kumar Singh & Faisal Ahmed. (2016) Econometric analysis of financial cointegration of least developed countries (LDCs) of Asia and the Pacific. China Finance Review International 6:2, pages 208-227.
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Carla Massidda & Paolo Mattana. (2012) A SVECM Analysis of the Relationship between International Tourism Arrivals, GDP and Trade in Italy. Journal of Travel Research 52:1, pages 93-105.
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ZhiJun Huang. (2011) A theoritical and practical study on logical reasoning to inversters' yield rate. A theoritical and practical study on logical reasoning to inversters' yield rate.
Nafeesa Yunus. (2009) Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests. Real Estate Economics 37:3, pages 383-411.
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Akbar Marvasti & David J. Smyth. (2006) BARTER'S ROLE IN THE MONEY–INCOME RELATIONSHIP. Pacific Economic Review 11:3, pages 395-408.
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Chanwit Phengpis. (2006) Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises. Journal of Economics and Business 58:4, pages 323-342.
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Neil Kellard. (2006) On the robustness of cointegration tests when assessing market efficiency. Finance Research Letters 3:1, pages 57-64.
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Chanwit Phengpis & Vince P. Apilado. (2004) Economic interdependence and common stochastic trends: A comparative analysis between EMU and non-EMU stock markets. International Review of Financial Analysis 13:3, pages 245-263.
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Jörg Breitung & Uwe Hassler. (2002) Inference on the cointegration rank in fractionally integrated processes. Journal of Econometrics 110:2, pages 167-185.
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Neil Kellard & Nicholas Sarantis. (2004) Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration. SSRN Electronic Journal.
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Giorgio Canarella & Stephen M. Miller. (2014) Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach. SSRN Electronic Journal.
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