cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

interpreted as the status quo. Thus, deviations from stationarity can be driven by expected changes in baseline consumption, and …

stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

cointegration analysis between the variables, toexamine the permanent income hypothesis, may not be valid. To model thechanging … that there exist a cointegration relation between US percapita disposable income and consumption, after correction for …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …