cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …

This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of … regressors, differing deterministic terms, structural dummies, and inclusion of stationary covariates. Thus, our IV cointegration …

on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

single-equation cointegration environment that incorporates linear polynomial trend functions. The standard approach used to … conduct inference on the trend function, on the cointegration vector in a cointegration relationship, and on the parameters of …