The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …

eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of …

The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …

arithmetic and geometric mean. The rejection of cointegration between the two stock market indicators supports this conjecture …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …