Estimation of a fractionally cointegrated demand system: evidence from the Japanese expenditure data

Manami Ogura

Applied Economics Letters, 2012, vol. 19, issue 11, 1023-1028

Abstract: In this article, we investigate the exact integration of series and analyse the cointegration relationship in the Japanese demand system. We find that the series considered in this analysis follow a fractionally I ( d ) process, not an exact I (1) one. Further, the Japanese demand system comprises the fractional cointegration relationships. Therefore, the use of a standard cointegration analysis might have a possibility of misleading the demand system with a fractionally cointegrated I ( d ) process.

Date: 2012
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DOI: 10.1080/13504851.2011.613738

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