cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

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

This paper proposes new cointegration tests based on instrumental variable (IV) estimation. An important property of … regressors, differing deterministic terms, structural dummies, and inclusion of stationary covariates. Thus, our IV cointegration …

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 …

recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …

models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …