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Fractional (Co)integration and Governing Party Support in Britain

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  • CLARKE, HAROLD D.
  • LEBO, MATTHEW

Abstract

Recent developments in the analysis of long-memoried processes provide important leverage for analysing time-series variables of interest to political scientists. This article provides an accessible exposition of these methods and illustrates their utility for addressing protracted controversies regarding the political economy of party support in Britain. Estimates of the fractionally differencing parameter, d, reveal that governing party support, prime ministerial approval and economic evaluations are long-memoried and non-stationary, and that governing party support and prime ministerial approval are fractionally cointegrated. Pace conventional wisdom that party leader images matter little, if at all, analyses of multivariate fractional error correction models show that prime ministerial approval has important short-run and long-run effects on party support. Prospective and retrospective personal economic evaluations are influential but, contrary to a longstanding claim, national economic evaluations are not significant. The article concludes by suggesting that individual-level heterogeneity is a likely source of the observed aggregate-level fractional integration in governing party support and its determinants. Specifying parsimonious models that incorporate theoretically meaningful heterogeneity is a challenging topic for future research.

Suggested Citation

  • Clarke, Harold D. & Lebo, Matthew, 2003. "Fractional (Co)integration and Governing Party Support in Britain," British Journal of Political Science, Cambridge University Press, vol. 33(2), pages 283-301, April.
    • Handle: RePEc:cup:bjposi:v:33:y:2003:i:02:p:283-301_00
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    Cited by:

    1. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
    2. Petar Sorić & Ivana Lolić & Marina Matošec, 2023. "The persistence of economic sentiment: a trip down memory lane," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(2), pages 371-395, April.
    3. Emrah Oral & Gazanfer Unal, 2019. "Modeling and forecasting time series of precious metals: a new approach to multifractal data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.

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