)), and the presence of cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the … concept of regime sensitive cointegration whereby the underlying series need not be cointegrated at all times. We show that … cointegration can be switched off when a common stochastic trend is added. Alternatively, cointegration can be switched on or off …

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis …

-run relationship(s) in the agricultural supply response model through cointegration analysis. The error correction estimates suggest …

, consider a simple bivariate case. Given weak exogeneity of the regressors, the parameters of the unique cointegrating vector … being measured , weak exogeneity of the regressor does not hold any longer, as the parameters of interest cannot be written … as a function of those of the conditional model only, and the concept of model (rather than weak) exogeneity becomes more …

logarithms of Indian exports and imports between 1949/50 and 2004/2005, using the unit-root, cointegration approach. To ascertain … been performed allowing for a one-time structural break in 1992/93. The results indicate no-cointegration between exports … and imports. The lack of cointegration means that Indian macroeconomic policies have been ineffective in bringing exports …

cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …

in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special … regressions. For the linear model, the unlikeliness of such an exogeneity assumption to hold in practice has inspired the `fully …