Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. Generalized cointegration is defined as the case where the cointegrating...

This article extends the results of Byers et al. (1997) on long memory in support for the Conservative and Labour Parties in the UK using longer samples and additional poll series. It finds continuing support for the ARFIMA(0, d, 0) model, though with somewhat smaller values of the long memory...