A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed …

(1) processes. Keywords: fractional integration, local Whittle, long memory, multivariate semiparametric es- timation … estimate ^G ^ d . If we want to test for equality of the q fractional integration parameters we can consider the following … conjecture that as d > 1, the estimates of the fractional integration parameters become severely negative biased and in�ation of …

's policy rate (i.e. the policy spreads) remains suciently low. This paper applies fractional integration techniques to assess … the central bank’s policy rate (i.e. the policy spreads) remains su ciently low. This paper applies fractional integration … market rates. Keywords: Long memory and fractional integration; controllability and persistence of interest rates; new …

: Cointegration rank, cointegration space, fractional integration and cointegration, interest rates, long memory, nonparametric, term …-run equilibria between variables) and empirical econometric analysis. To �x ideas, �rst the concepts of fractional integration and … also applies with little modi�cation under the alternative de�nition of fractional integration for vector time series …

testing fractional integration and propose the use of a residual based approach which uses the Exact Local Whittle Estimator …

rate small and short-lived. This paper uses fractional integration techniques to explore how the operational framework of …