We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …

This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …

in Europe by estimating fractional cointegration models. The evidence suggests that this series is highly persistent in …