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    • Estimation of the cointegrating rank in fractional cointegration 

      Hualde Bilbao, Javier Upna (2012)   Documento de trabajo / Lan gaiak  OpenAccess
      This paper proposes an estimator of the cointegrating rank of a potentially cointegrated multivariate fractional process. Our setting is very flexible, allowing the individual observable processes to have different integration ...
    • A simple test for the equality of integration orders 

      Hualde Bilbao, Javier Upna (2012)   Documento de trabajo / Lan gaiak  OpenAccess
      A necessary condition for two time series to be nontrivially cointegrated is the equality of their respective integration orders. Thus, it is standard practice to test for order homogeneity prior to testing for cointegration. ...