the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

rate and shows the interaction of the main variables of the monetary sector. -- Cointegration analysis ; impulse response …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …

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 …

policy was satisfied. -- cointegration analysis ; monetary policy ; Markov regime switching analysis ; money demand ; vector …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …

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 …

parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages …. We compare these results to results from a standard SVECM and find that, using the Subset VECM reduces estimation … ; Cointegration …