This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …

for the cointegration rank test are also brie y discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …