developments imply bivariate cointegration among stock prices, dividends, output and consumption where independent models identify … stock prices, dividends, output and consumption, although not necessarily linked by a single common stochastic trend; each … series responds to disequilibrium with greater evidence of a reaction from dividends and consumption – of note, output …

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrating … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

cointegration between the log stock prices and the log dividends. However, our empirical results also show that the cointegrat- ing … on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed …

variables analyzed (product, consumption, private investment, public investment, and terms of trade). Secondly, to analyze the …, consumption, private investment, and public investment. This result appears more pronounced as the time horizon approaches the …