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 …

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 …

testing approach to cointegration is employed to test the causal relationship between industrial production, exports and terms …

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 …

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …