) test for the null hypothesis of cointegration. We derive the asymptotic local power functions and compare them with the …

chi-square distribution. A test for the ranks of submatrices of the cointegration matrix and its orthogonal matrix plays a …

It is widely recognized that taking cointegration relationships into consideration is useful in forecasting …-known vector error correction model. First, it is hard to identify the cointegration rank in large models. Second, since the number … accuracy when we work with a larger model as long as the ratio of the cointegration rank to the number of variables in the …

the submatrix of cointegration. In this paper, we propose a procedure for conducting Granger non-causality tests that are …

It is widely believed that taking cointegration and integration into consideration is useful in constructing long …-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior …