Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004

Abstract

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.