investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience … common factor structure to model the cross-sectional dependence, but not much work has been done yet for panel no-cointegration … tests. This paper proposes a model for panel no-cointegration using an unobserved common factor structure, following the …

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error …

This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled … normality depends critically on the absence of cross-unit cointegration. …