This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …

In this paper we examine, by means of Monte Carlo simulation, the properties of several cointegration tests when long … gradual changes. Our Monte Carlo analysis reveals that tests with cointegration as the null hypothesis perform badly, while … tests with the null of no cointegration retain much of their usefulness in this context. …

problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation … established between time series due to the presence of trends. The analysis of macroeconomic time series through cointegration is … a common fact. Modelling the Romanian M2 money demand through cointegration and vector error correction led to somewhat …

, and the rest of the world. Using maximum likelihood based cointegration we showed that there are weak stochastic trends …

relationships between market indices and their fundamentals are analysed. Cointegration appears mainly in large markets, while the …

Area; US and the rest of the world. By applying both univariate unit root and a multivariate cointegration test, we find …

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis … is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d …