In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems … cointegration tests ; VEC models …

assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …

This paper provides a review of the literature on unit roots and cointegration …

cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …