The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation...

This paper develops test procedures for testing the validity of general linear identifying restrictions imposed on cointegrating vectors in the context of a vector autoregressive model. In addition to overidentifying restrictions the considered restrictions may also involve normalizing...