construct the valid moment conditions (including the stationarity moment conditions) for the case without explanatory variable …

presents a multivariate econometric framework for analyzing hysteresis, which allows one to test different hypotheses about non-stationarity … period 1988 up to the onset of the financial crisis, the non-stationarity of UK unemployment cannot be explained as a result …

The goal of this paper was to introduce some general issues of non-stationarity for practitioners, students and …

driftless unit roots, unit roots with drift, long memory, trend and broken-trend stationarity. Indeed, spurious regressions have … used in applied macroeconomics. Spin-offs from this research range from unit-root tests to cointegration and error …

The small sample performance of Granger causality tests under different model dimensions, degree of c cointegration …

The small sample performance of Granger causality tests under different model dimensions, degree of cointegration …

Watson(1995), more appropriate critical values through Monte Carlo experiments, and fractional cointegration. Results show … that the PPP hypothesis is not necessarily rejected from the viewpoint of fractional cointegration, although analyses …

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

on this representation, we propose a notion of near cointegration, which helps bridging the gap between the polar cases … of spurious regression and cointegration. Two applications of the model of near cointegration are provided. As a first … application, the properties of conventional cointegration methods under near cointegration are characterized, hereby investigating …