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 …

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

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

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 …

, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …

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 …

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

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …