Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model fitted to the series. In this paper we...

This paper presents of number of cointegration tests that exploit the statistical properties of the records from the original time series variables. We prove their consistency and obtain their asymptotic null distributions. Among the advantages of this novel methodology, the new tests are...

Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analyse time series with strong serial dependence, the focus being placed in the detection of eventual unit roots in an autorregresive model fitted to the series. In this paper we...