We propose a Lagrange Multiplier test of the null hypothesis of cointegration in fractionally cointegrated models. The …

We propose a Lagrange Multiplier (LM) test of the null hypothesis of cointegration in fractionally cointegrated models …

The method of cointegration analysis for modeling nonstationary economic time series variables has become a dominant … paradigm in empirical economic research. Critics argue that a cointegration analysis produces results that are, at best …, useless and, at worst, dangerous. In this research, we explain why and how the use of a cointegration analysis in economic …

presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …