-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

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 …

This paper provides a review of the literature on unit roots and cointegration …

cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …