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 …

models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

characteristics of the filter for signal extraction, trend prediction and cointegration estimation for univariate and bivariate series …

with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern … seasonal and non-seasonal cointegration relations among the variables. The response functions of consumption and income show a …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …