Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000), the Bierens test has very low power. In...

The paper “Further evidence on the size and power of the Bierens and Johansen cointegration procedures,†by David O. Cushman, was published by the Economics Bulletin on October 8, 2003. Shortly thereafter, while correcting formatting problems on its website, the journal mistakenly...

Although both the Johansen (1991, 1994) trace test and Bierens (1997a,b) nonparametric lambda-min test for cointegration have good size properties in Monte Carlo studies by Hubrich, Lutkepohl, and Saikkonen (2001) and Boswijk, Lucas, and Taylor (2000), the Bierens test has very low power. In...

In an analysis of purchasing power parity, the Phillips-Ploberger (1994) Bayesian model selection and unit root test procedure is applied to 53 real exchange rates over the current floating exchange rate period. The DF-GLS unit root test of Elliott, Rothenberg, and Stock (1996) is also applied....

The paper “Further evidence on the size and power of the Bierens and Johansen cointegration procedures,” by David O. Cushman, was published by the Economics Bulletin on October 8, 2003. Shortly thereafter, while correcting formatting problems on its website, the journal mistakenly replaced...