1982Q2-2005Q4. Using cointegration and vector error-correction modeling approaches, we find considerable support for the …

1982Q2-2005Q4. Using cointegration and vector error-correction modeling approaches, we find considerable support for the …

assume the existence of cointegration between the variables involved. In this paper, we investigate the consequences of … interpret the test for long horizon predictability as a single equation test for cointegration. …

techniques. While the conventional residual-based cointegration tests employed fail to identify any meaningful long …-run relationship in the gasoline function, the Gregory-Hansen structural break cointegration approach confirms the cointegration … that a structural break in the cointegration vector is important and needs to be taken care of in the specification of …

conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory-Hansen structural break cointegration approach confirms the cointegration relationships despite the …

conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the … ; structural breaks ; parameter stability ; cointegration …

be negative and highly significant supporting cointegration and suggesting a quick adjustment to long-run equilibrium …

cointegration, impulse response and variance decomposition analysis. The empirical results reported confirm recent findings that the …

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …