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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 competing tests for fractional cointegration, since no standard approach emerged so far. It provides a synthesis of the literature and a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. In Chapter 3, the previously reviewed methods are applied indoi:10.15488/5520 fatcat:6xkvdizoibe4pcnsuygnkkldgu