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Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
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James E. H. Davidson
Published/Copyright:
March 2, 2006
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 variables may be fractional differences of the observed series. The concepts are applied to a model of poll data on approval of the performance of prime ministers and governments in the UK.
Published Online: 2006-3-2
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
- Article
- On Robust Trend Function Hypothesis Testing
- Heterogeneous Consumption Goods, Sectoral Change, and Economic Growth
- Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
- Non-linear Real Exchange Rate Effects in the UK Labour Market
- Model Selection Uncertainty and Detection of Threshold Effects
- Indexing Speculative Pressure on an Exchange Rate Regime: A Case Study of Macedonia
