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 …

In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both …) types of cointegration tests in panel data), (ii) McCoskey and Kao (1998) Test (Residual based LM Test for cointegration in …, are constructed under the null hypothesis of no cointegration, while the other, the McCoskey and Kao LM test, is based on …

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 …

monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange …

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

cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …

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 …

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