Fractional cointegration analysis of EU convergence

Sonila Beliu and Matthew Higgins

Applied Economics, 2004, vol. 36, issue 14, 1607-1611

Abstract: Traditional cointegration tests do not provide strong evidence of convergence between EU countries. In this study, fractional cointegration analysis is used to test for convergence between EU members. Fractional cointegration between inflation and between long-term interest rates is found. The results indicate that there is nominal convergence, but that the equilibrium errors display long memory. Fractional cointegration analysis gives no evidence of real convergence in output.

Date: 2004
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DOI: 10.1080/0003684042000217931

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