cointegration vector that is consistent with the triangular arbitrage condition. In a first step, it is theoretically derived under … forcointegration, i.e. deducing recursively. Thirdly, it applies the cointegration methodology within atriangular framework by … detecting cointegration between exchange rates that are not only denominated in U.S. dollars. And lastly, it shows that …

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a …

An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models …

interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis …

(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. …