maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first …

activism. We test this theory with a new dataset that comprises monthly information on trade measures across 125 countries and …

fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …

period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of … both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long …