is fundamentally uncertain which covariates are relevant. Thus cointegration is often analyzed in partial systems … significant cointegration outcome using a bootstrapped rank test (Cavaliere, Rahbek, and Taylor, 2012) in the bivariate sub … reject the null of no cointegration, but by simulation we find that they display very low power, such that the (bivariate …

unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse …