We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified … least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. The procedure is inspired by Chu … et al. (1996) in that it is based on parameter estimation only on a pre-break ``calibration'' period rather than being …

five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …

uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of …Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper … that OLS based cointegration can yield spurious cointegration …

recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …

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

The method of cointegration analysis for modeling nonstationary economic time series variables has become a dominant … paradigm in empirical economic research. Critics argue that a cointegration analysis produces results that are, at best …, useless and, at worst, dangerous. In this research, we explain why and how the use of a cointegration analysis in economic …