In this paper I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lütkepohl, Saikkonen & Trenkler (2004), Saikkonen & Lütkepohl (2000a, 2000b, 2000c), and Saikkonen & Luukkonen (1997). The...

In this paper, the main idea is to compute the robust regression model, derived by experimentation, in order to achieve a model with minimum effects of outliers and fixed variation among different experimental runs. Both outliers and nonequality of residual variation can affect the response...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...