This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

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

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

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …

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 …

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 …