Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and … long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in … real rates and hence confirms the Fisher hypothesis. Threshold cointegration accounts for the possibility that this mean …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test … of interest. -- Bayes test ; unit roots ; cointegration ; decision contours …

This paper reviews panel unit root and cointegration tests in the context of PPP. It highlights various drawbacks of … necessarily outperform OLS. Finally, cointegration between different groups in the panel could also be a source of size … the PPP puzzle. -- Purchasing Power Parity (PPP) ; panel unit root and cointegration tests ; cross-sectional dependence …

, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

forecasting accuracy. -- remittances ; time series ; prediction ; cointegration net exports …

may have been overestimated in previous studies due to application of inappropriate first generation panel cointegration …