misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are …

The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration …

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. …

misspecified. This paper investigates the small sample performance of four well-known cointegration tests when a system has been …When dealing with time series that are integrated of order one, the concept of cointegration becomes crucial for the … specification of a model. Using the best available tests, one can reduce the probability of estimating econometric models that are …

It is argued that size distortions and power properties of likelihood based tests for cointegration are so poor in many …

A number of variations of seven causality tests of the absence of causal ordering are examined. The various of the … tests considered account not only for stationarity, but also for integratedness and/or contegratedness among the variables …