We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be … results in this paper also generalises to more complicated nonlinear models involving integrated time series. -- Cointegration … ; nonlinearity ; bimodality ; misspecification ; instrumental variables ; asymptotic theory. …

specification as well as a KPSS-type test for cointegration are derived. The theoretical analysis is complemented by a simulation …

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

analyzed using asymptotic theory and finite sample simulations. IM-OLS performs well relative to other approaches in the … literature. -- bandwidth ; cointegration ; fixed-b asymptotics ; fully modified OLS ; IM-OLS ; kernel …