Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates
提出基于多元ARFIMA模型的分数协整检验方法，通过联合估计协整向量及其原始序列的分数整合阶数，并以美加债券利率为例说明原始序列整合阶数的不确定性比协整向量的不确定性更重要。
We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent series. Previous cointegration tests relied on a two-step testing procedure and maintained the assumption in the second step that the parent series were known to have a unit root. In our empirical example of fractional cointegration, we illustrate how uncertainty regarding the order of integration of the parent series can be even more important than uncertainty regarding the order of integration of the cointegrating vector when testing for cointegration. © 1998 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology