higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and …This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the … existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a …

In this paper, test procedures for no fractional cointegration against possible breaks in the persistence structure of … Breitung (2006) test statistic for no cointegration over possible breakpoints in the long-run equilibrium. We show that the new …

In this paper, we develop new threshold cointegration tests with SETAR and MTAR adjustment allowing for the presence of … breakpoint and test the null hypothesis of no cointegration. Thereby, we extend the well-known residual-based cointegration test … Carlo experiments. We find a substantial decrease of power of the conventional threshold cointegration tests caused by a …

, whether a stationary or a cointegration environment is considered. The CUSUM-of-squares test is to be preferred, as it is very …

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

cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that … the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the …

Luetkephol (2000) cointegration approach is then employed to determine the long-run drivers of economic growth. This … cointegration technique accommodates potential structural breaks that could undermine the existence of a long-run relationship …