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 …

interpretation of the results, which focuses on the presence of simultaneity in a cointegration framework. We then use a …

estimation methodologies such as single-equation error correction and first differences specifications. A longer term perspective …

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental …

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 …

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