Fractional Cointegration and the Demand for M1

Greg Tkacz
Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure. Because the order of integration is found to be significantly higher than zero, a grid-search procedure is used over the local parameter space to isolate the parameters required to lower the fractional order of integration. When Canadian data from 1968–99 are examined, a 25 per cent reduction in the interest...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.