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 …

processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …

When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …