This paper studies the use of spectral regression techniques in the context of cointegrated systems of multiple time series. Several alternatives are considered including efficient and band spectral methods as well as system and single equation techniques. It is shown that single equation...

The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process. Such matrices are constructed by introducing some weight functions....

Understanding market integration in developing countries is an important issue in current research. This study is an attempt to analyze wheat market integration in Pakistan. Previous research on the subject has attempted at analyzing market integration in Pakistan's south and north Punjab...

Understanding market integration in developing countries is an important issue in current research. This study is an attempt to analyze wheat market integration in Pakistan. Previous research on the subject has attempted at analyzing market integration in Pakistan’s south and north Punjab...

Our subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia)...