-stationary variables. Focusing on cointegration issues, some methodological aspects ere discussed, attempting to integrate coherently the … several steps of the modelling strategy. These range from unit to cointegration testing and to testing for instability in the … cointegration vector. An empirical example with Portuguse data tries to illustrate the usefulness of this approach, where a simple …

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 …

periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

This review discusses methods of testing for a cointegration in a time series in thepresence of structural breaks. The … presented. In addition, nonlinear cointegration methods with regime swithingsare considered …

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …

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