This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

When President Roosevelt took the oath of office in 1933, he was facing a devastated nation. Four years into the Great Depression, 13 million American workers were jobless. What people wanted were jobs, not handouts, and in 1935, after a variety of temporary relief measures, a permanent...