cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

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

The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …

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

This review discusses methods of testing for a cointegration in a time series in thepresence of structural breaks. The … presented. In addition, nonlinear cointegration methods with regime swithingsare considered …

(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …

Luetkephol (2000) cointegration approach is then employed to determine the long-run drivers of economic growth. This … cointegration technique accommodates potential structural breaks that could undermine the existence of a long-run relationship …