(1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … inflation expectations in Finland utilising a univariate time series model and a special structural change procedure in Junttila … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the …

The belief that stock market provides hedge against inflation has been put to test by many researchers over the past … regression and Johansen cointegration approach have been used to test whether or not Indian sectoral indices provide hedge … against inflation in short and long run respectively. The weak exogenity test under VECM has been used to establish the hedge …

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 …