This paper provides the practitioner with a method of ascertaining when the concentration parameter in a simultaneous equations model is small. We provide some exact distribution theory for a proposed statistic and show that the statistic possesses the minimal desirable characteristics of a test...

In this paper we show that it is possible to characterise the cointegrating structure of a partially non-stationary, cointegrated, I(1) time series via the canonical correlations between the future and, the present and past, of the first differences of that series. This leads to a consideration...