the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

for size correction. -- Cointegration ; weak exogeneity ; bootstrap test ; Subset VECM …

parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages … ; Cointegration …

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …