Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...

We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional distribution of the two endogenous variables...

This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in...

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...