derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

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

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

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 …

is in stark contrast to residual based tests of the null of integration in a cointegration setting, where power is …