to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

-2003. Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between …

-2003. Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between …

nonstationarity and cointegration in the data and various long-run model specifications are studied in detail. Bayesian empirical …

In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple … shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved … cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of …

In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the …

volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous … application to correlation forecasting is presented …