We consider a class of panel tests covering tests for the null hypothesis of no cointegration as well as cointegration. All tests under investigation rely on single-equations estimated by ordinary least squares, and they may be residual-based or not. We focus on test statistics computed from...

We suggest a model for long memory in time series that amounts to harmonically weighting short memory processes, ∑ _j ^x t − j / ( j 1). A nonstandard rate of convergence is required to establish a Gaussian functional central limit theorem. Further, we study the asymptotic least squares theory...

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under investigation rely on single-equations estimated by least squares, and they may be residual-based or not. We focus on test statistics computed from regressions with intercept only...

We propose a class of ratio tests that is applicable whenever a cumulation (of transformed) data is asymptotically normal upon appropriate normalization. All it requires is the orthonormal expansion using the Karhunen-Loeve [KL] theorem, which is employed to compute weighted averages of the...