responses of several variables to the identified real shock. …

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. …

Applied cointegration analysis has much to gain from strong links with economic theory. For example, the current … important information about the economic structure can be found in the short-run dynamics, which most cointegration studies …

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …