distribution theory is mixed normal, giving simple usable asymptotics in practical work. The results provide a convenient basis for …

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of …Linear cointegration is known to have the important property of invariance under temporal translation. The same … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the …

theory for each of the proposed tests. The first test is initially proposed for the case where the regression function …

stationary time series regressors. A new and simple test is proposed and the resulting asymptotic theory is established. The test …