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 …

We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration … the standard integration/cointegration paradigm through the introduction of nonstationary heteroscedasticity. We propose a … test for stochastic cointegration against the alternative of no cointegration and a secondary test for stationary …

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …