In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of structural and/or nuisance parameters. This...

In this paper we study further the asymptotic power properties of the integrated conditional moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1994). First, we establish the relation between consistency against global alternatives and nontrivial local power, using the concept of...