This article discusses identification problems in the fractionally cointegrated system of
Johansen and Johansen and Nielsen. It is shown that several equivalent reparametrizations …

There are various competing procedures to determine whether fractional cointegration is
present in a multivariate time series, but no standard approach has emerged. We provide a …

We propose a setup for fractionally cointegrated time series which is formulated in terms of
latent integrated and short-memory components. It accommodates nonstationary processes …

In this paper we consider a fractionally cointegrated error correction model and investigate
asymptotic properties of the maximum likelihood (ML) estimators of the matrix of the …

We study the theoretical properties of the model for fractional cointegration proposed by
Granger (1986), namely the FVECM_ {d, b}. First, we show that the stability of any …

We illustrate a number of appealing properties of a new model for fractional cointegration,
which extends the model proposed by Granger (1986), by letting the short-term dynamics to …

This paper discusses identification problems in the fractionally cointegrated system of
Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent …

This paper discusses identification problems in the fractionally cointegrated system of
Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent …

This thesis contains five essays on fractional cointegration, seasonal fractional cointegration
and seasonal long memory. After an introduction in the first Chapter, Chapter 2 reviews …

In this paper the Fractional Vector Error Correction Model (FVECM) is extended by allowing
three of its parameters to vary with time: the equilibrium relationship parameter β β, the …