empirical work is illustrated by two applications to euro area data on inflation, output and interest rates …

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …

cointegration rank, and a hypothesis test to examine the parameter stability. To validate the theoretical findings, we conduct …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …