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This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
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-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …
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rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system … series we find indeed the theoretically expected three cointegration relations, in contrast to previous studies based on … ; cointegration analysis …
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