operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …