In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple … shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved … cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of …

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

In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the …

This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …

data unit root and stationarity tests to characterize our data. Then, we test cointegration between our variables with Kao …[16] panel data cointegration tests. As we accept cointegration, we compare different estimators (OLS, FMOLS, DOLS …

In this paper we propose an LM-Type statistic to test the null hypothesis of cointegration allowing for the possibility … of a structural break, in both the deterministic and the cointegration vector. Our proposal focuses on the presence of … complement to the usual non-cointegration tests in order to obtain stronger evidence of cointegration. We consider the cases of …

particular we analize the topics of integrability and cointegration; secondly we analize the main characteristics of the LAM …

The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …