The low power of threshold, or asymmetric, cointegration tests is addressed. A new test is developed which combines … the newly proposed GLS-MTAR threshold cointegration test are provided under alternative decisions regarding the … in power relative to the previously proposed MTAR threshold cointegration test of Enders and Siklos [W. Enders, P. Siklos …

This paper proposes an alternative procedure to test for cointegration in smooth transition autoregressive (STAR …-tests with a null hypothesis of no cointegration and an alternative hypothesis of cointegration with STAR adjustment. The …

cointegration and to estimate the number of cointegrating vectors. A single cointegrating relationship is found among the set of non … not seem to have a significant effect on tourism demand from Malaysia to Australia when the cointegration technique is …

, 1990–2000 using quarterly data and cointegration- and error-correction-based models. It is found that price, real income …

present paper employs the Johansen [S. Johansen, Statistical analysis of cointegration vectors, Journal of Economic Dynamics … and Control 12 (1988) 231–254] cointegration approach to check the long-run co-movements of real outputs among the East …

This paper investigates two problems which a practitioner of Johansen's cointegration analysis faces: the pre …-testing problem and the inconsistency problem. Johansen's cointegration analysis requires hypothesis testing at four stages, and thus … Type I errors accumulate. In addition, it often occurs that the results of unit root tests and those of cointegration tests …

cointegration approach, this study discovers two distinct results. First, Australian household income, accommodation prices, prices …