We derive a definition of linear cointegration for nonlinear stochastic processes using a martingale representation … assumption of linearity. We propose a sequential nonparametric method to test first for cointegration and second for nonlinear …

Cointegration theory provides a flexible class of statistical models that combine long-run relationships and short …

from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the … assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether … support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across …

this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

Cointegration requires all the variables in the system to have exact unit roots; accordingly it is conventional for … researchers to test for a unit root in each variable prior to a cointegration analysis. Unfortunately, these unit root tests are … not powerful. Meanwhile, conventional cointegration methods are not at all robust to slight violations of the requirement …

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the …

-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo …