employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

Nigeria using the framework of single equation error correction mechanism. The unit root and cointegration tests were …