(cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … generating process will change considerably. Cointegration tests become invalid in a single equation framework but system … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …

cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures … rank smaller than one suggested by procedures which accommodate the shifts. -- Systems cointegration tests ; Level shifts …

size properties. -- local power ; test size ; cointegration ; vector autoregressive process ; error correction model …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …

comprising the basket on the other hand are expected to exist. I test for such long-run relationships within the cointegration … has to apply cointegration tests taking such structural shifts into account. Using recently developed test procedures I … find the postulated cointegration relations and conclude that the monetary authorities could defend the crawling peg for …

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … econometric analyses. -- Cointegration ; structural break ; vector autoregressive process ; error correction model …