A test for fractional cointegration using the sieve bootstrap

摘要

The concept of fractional cointegration (Cheung and Lai in J Bus Econ Stat 11:103-112, 1993) has been introduced to generalize traditional cointegration (Engle and Granger in Econometrica 55:251-276, 1987) to the long memory framework. In this work we propose a test for fractional cointegration with the sieve bootstrap and compare by simulations the performance of our proposal with other semiparametric methods existing in literature: the three steps technique of Marinucci and Robinson (J Econom 105:225-247, 2001) and the procedure to determine the fractional cointegration rank of Robinson and Yajima (J Econom 106:217-241, 2002).