This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

We propose two robust bootstrap-based simultaneous inference methods for time series models featuring time-varying coefficients and conduct an extensive simulation study to assess their performance. Our exploration covers a wide range of scenarios, encompassing serially correlated,...

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...

The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...