Morana, Claudio - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 3, pp. 1092-1092
In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent component in fractionally cointegrated processes. We find evidence of cobreaking and fractional cointegration in excess nominal money growth and inflation in the euro area, and...