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A fractionally cointegrated VAR analysis of economic voting and political support

Author

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  • Maggie E. C. Jones

    (Queen?s University)

  • Morten Ørregaard Nielsen

    (Queen?s University and CREATES)

  • Michael Ksawery Popiel

    (Queen?s University)

Abstract

We use a fractionally cointegrated vector autoregressive model to examine the relationship between Canadian political support and macroeconomic conditions. This model is well suited for the analysis because it allows multiple fractional time series and admits simple asymptotic inference for the model parameters and tests of the hypotheses of interest. In the long-run equilibrium, we find that support for the Progressive Conservative Party was higher during periods of high interest rates and low unemployment, while support for the Liberal Party was higher during periods of low interest rates and high unemployment. We also test and reject the notion that party support is driven only by relative (to the United States) economic performance. Indeed, our findings suggest that US macroeconomic variables do not enter the long-run equilibrium of Canadian economic voting (political opinion poll support) at all.

Suggested Citation

  • Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," CREATES Research Papers 2014-23, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2014-23
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    References listed on IDEAS

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    More about this item

    Keywords

    Economic voting; fractional cointegration; political economy; vector autoregressive model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D72 - Microeconomics - - Analysis of Collective Decision-Making - - - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior

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