We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.

The effects on three cointegration tests are examined when the series analysed are independent integrated processes, each with a structural break. Although there are differences in detail among the tests, the results indicate in all cases that, when structural breaks are neglected in the...

The balanced growth and neoclassical stochastic growth literatures imply stationarity of certain macroeconomic 'great ratios'. Four such ratios are considered: consumption:output, investment:output, the real interest rate and real money supply growth, and evidence for ratio stationarity in the...

This article examines the time-series properties of real Gross Domestic Product (GDP) in the Euro area as a whole, both prior to and after the adoption of the Euro in January 1999. We employ the relatively recent 'optimal approximation' band pass filter developed by Christiano and Fitzgerald...

Systems of economic data potentially exhibit a number of common features, which aid both econometric modelling and economic interpretation. This paper surveys a variety of common features and applies the corresponding testing and estimation techniques to systems of macroeconomic time series in...

This paper investigates the relationship between wages and prices in the UK using a VECM formulation and generalized impulse response functions and persistence profiles. Because of significant feedbacks, it finds that fluctuations in wage growth cannot be used directly to predict fluctuations in...