maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the … power properties among the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with …

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration …

of the data. A Bayesian test of cointegration is also developed. The model is used to assess the validity of the Fisher …

(1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the …

system exhibits mean-reversion (threshold cointegration). Contrary to the unit root hypothesis, this approach can be given a … adjusted form, cannot be rejected when a threshold cointegration model is estimated. The threshold cointegration model may not …