To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short … is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the …

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

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 …

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

We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt … interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of … properties f(x) are studied via a set of simulation experiments. -- cointegration ; nonstationary time series models ; null …