This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European …,1) processes are used to model the cointegration relationship. Furthermore, this cointegration relationship is contaminated with … jumps. Based on these processes, the power and size properties of ten contemporary cointegration tests are assessed. We …