Notice of RetractionLong memory macroeconomic model of the term structure of interest rates

Notice of Retraction

After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.

We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.

The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.

In this paper, we employ the Sowell (1989) multivariate long memory model to describe the dynamic behaviors of our macro system. Moreover, we incorporate the partial seasonal adjustment operator into our macro model by which we significantly reduce the AR lag order lower to one,hence reducing a large amount of parameters. Empirically, we apply the estimation procedure of Hualde and Robinson (2006). We found that 3 month short interest rate is fractionally cointegrated with the long term yield, implying a stable long run relationship between them.