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

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

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

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

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 …

countries is examined applying a fractional cointegration method which tests for the possible existence of a long …

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

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 …

Product (GDP) in China by applying fractional integration and cointegration methods. These are more general than the standard … integration being around 2, whilst the cointegration tests (using both standard and fractional techniques) imply that there exists …