investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely … given. Third, issues of weak exogeneity are considered. Likelihood ratio type tests for the different hypotheses under study …

We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation … assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear …

. We find cointegration empirical support for the model, with robustness checks and a comparison to a standard …

of unit roots and cointegration issues. The advantages become especially prominent for systems with higher integration … integration and cointegration properties. The canonical form given in the paper can be used to construct a parameterization of the …

in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper …

unit roots that allow for a structural break, we employ parametric tests for cointegration: based on Johansen (1995) and … characterised by whether or not imports and exports are cointegrated. The regime of non-cointegration runs until the late 1990s and … the second regime of cointegration is present after that. This latter regime coincides with the liberalisation of the …

correlations for all of the markets since 2001. Time-varying and recursive cointegration tests provide somewhat weak evidence in … favour of the presence of bivariate cointegration relationships, but stronger evidence in the multivariate case, suggesting …

considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques …