factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …

with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern … seasonal and non-seasonal cointegration relations among the variables. The response functions of consumption and income show a …

approach requires careful specification of the integration and cointegration properties of variables in systems of equations …

rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …