, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …

cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that … the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the …

This review discusses methods of testing for a cointegration in a time series in thepresence of structural breaks. The … presented. In addition, nonlinear cointegration methods with regime swithingsare considered …

Luetkephol (2000) cointegration approach is then employed to determine the long-run drivers of economic growth. This … cointegration technique accommodates potential structural breaks that could undermine the existence of a long-run relationship …

relationship is time-dependent. Our results suggest that the null hypothesis of linear cointegration would be rejected in favor of … a two-regime threshold cointegration model, that is, in favor of a time-sensitive relationship with two opposite regimes …

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …