In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems … cointegration tests ; VEC models …

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 …

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The … cointegration vector, but the Johansen (1991) test fares slightly better than the Kwiatkowski et al (1992) test. Applying a Bartlett …

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

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

assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …