comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration … has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I … find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for …

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions …

The impact of the choice of the lag length on tests for the number of cointegration relations in a vector … simulation study we find that small sample power and size of LR cointegration tests strongly depend on the choice of the lag …

stability theory developed for Markov chains. Stationarity, existence of second moments of the stationary distribution, and …

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …