This paper develops a fully modified OLS (FM-OLS) estimator for cointegrating polynomial regressions, i.e., regressions that include as explanatory variables deterministic variables, integrated ...

We consider a common-components model for multivariate fractional cointegration, in which the s ≥ 1 components have different memory parameters. The cointegrating rank may exceed 1. We decompose the ...

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

Journal of Econometrics (2023). [2] Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors. Finance Research Letters (2022).

We do so by modeling the cointegrating equation as a two-state, Markov-switching process with time varying transition probabilities. Regime-switching in the cointegrating relationship is driven by ...

Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle Yasser Abdih and Frederick Joutz Full Text of this Article (PDF 216K) Abstract: The knowledge ...