The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a … Carlo simulation shows that the test has good small sample size and power properties. In the consumption function example in …

test statistic is shown to have size very close to the nominal. We give an empirical example for a consumption model … including consumption, income and inflation. …

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs …

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic … possible cointegration across units. …

root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for … testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the …

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative …

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

This thesis consists of an introductory part and three papers. <p> Paper [I] examines how taxes affect consumption of … significantly larger change in consumption than a producer price change, which is referred to as the signaling effect from taxation … in consumption than a producer price change. The empirical analysis is conducted by a US panel data study, during the …