the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …

literature. -- bandwidth ; cointegration ; fixed-b asymptotics ; fully modified OLS ; IM-OLS ; kernel …

specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …