This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration … the standard integration/cointegration paradigm through the introduction of nonstationary heteroscedasticity. We propose a … test for stochastic cointegration against the alternative of no cointegration and a secondary test for stationary …