This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … for cointegration to the same data set. -- Cointegration ; Meta Test ; Multiple Testing …

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

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 …

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 …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

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 …

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