In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T going to infinity, are shown to be standard normals. The effects of serial correlation and cross-sectional dependence...

This paper examines a point optimal invariant (POI) test for the null hypothesis of cointegration. Our test is different from Jansson's (2005) test in that we consider location invariance in wider directions and that we assume an unknown variance-covariance matrix for the error term, while it is...

This paper proposes a test of the rank of the sub-matrix of b, where b is a cointegrating matrix. In addition, the sub-matrix of d, an orthogonal complement to b, is investigated. We show that information on the rank of the sub-matrix of b and/or d is useful in several situations. We construct...

In this paper, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the variance-covariance matrix associated with the usual Wald type test by proposing a generalized inverse procedure, and an...

In this paper we consider the test of the rank of the sub-matrix of b, the cointegrating matrix, when the process has a deterministic linear trend. We review the problem of the testing procedure proposed by Kurozumi (2003) and give the alternative test statistic that is symptotically chi-square...

We propose a (trend) stationarity test with a good finite sample size even when a process is (trend) stationary with strong persistence; this is useful for distinguishing between a (trend) stationary process with strong persistence and a unit root process. It could be considered as a modified...

This paper investigates an efficient estimation method for a cointegrating regression model with structural change. Our proposal is that we first estimate the break point by minimizing the sum of squared residuals and then, by replacing the break fraction with the estimated one, we estimate the...