-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …

-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …

cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … condition is met. Secondly, we analyze the case when cointegration doesn't carry through the aggregation process, investigating … derive the asymptotic measure of the degree of non cointegration of the aggregated estimate and we provide estimation and …

application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …

in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper …