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 …

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 …

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 …