Testing of Fractional Cointegration in Macroeconomic Time Series*
提出一个两步检验法，用于检验宏观经济时间序列中的分数协整，基于Robinson的单变量检验，类似Engle-Granger方法，并通过蒙特卡洛实验和实证应用验证其有限样本性质。
Abstract We propose in this article a two‐step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson's ( Journal of the American Statistical Association , Vol. 89, p. 1420) univariate tests and is similar in spirit to the one proposed by Engle & Granger ( Econometrica , Vol. 55, p. 251), 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 & Granger ( Econometrica , Vol. 55, p. 251) and Campbell & Shiller ( Journal of Political Economy , Vol. 95, p. 1062), is also carried out at the end of the article.