Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … quarterly data of twenty years' time series (2000Q1-2019Q4). We present results of two methods for cointegration test: first …, residual regression test table and second, Engle & Granger cointegration test and Philips Ouliaris test. Both methods provides …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

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 …

cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …

for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …