In a recent article Gallet and List (2001) examined whether relative market shares in the U.S. cigarette market were mean-reverting using traditional univariate unit root tests and a test that allows for a breaking trend. Their results indicated most of the series were nonstationary, suggesting...

Jin, et al. (2006) relied on a semi-parametric wavelet estimator of the degree of fractional integration and its associated t-statistic to conclude that many exchange rates appear to be fractionally integrated. This note demonstrates that several recent tests for fractional integration provide a...

Nielsen (2004) provides multivariate maximum likelihood procedures to test whether several series are fractionally integrated. This note examines the finite sample size of the likelihood ratio tests applied to a bivariate system experiencing breaks in means. The results suggest that tests of a...

A fractionally integrated series is mean-reverting, and may be covariance stationary. Recent interest in fractional integration has been extended to tests of whether series are fractionally cointegrated. This article provides simulated critical values for use in tests of fractional cointegration...

Lobato and Velasco (2007) introduced a test for a unit root against fractional alternatives with good power and performance properties. The purpose of this article is to examine the size of the test in the presence of level and trend breaks under the null hypothesis. The results suggest that...

In this article I examine whether retail and producer prices for American processed cheese follow a long-run linear relationship. The results suggest that wholesale and retail prices are not cointegrated, even when allowance is made for nonlinear and threshold effects, suggesting little evidence...

Lopez et al. (2005) demonstrated that single-equation unit-root tests cannot provide conclusive evidence of whether real exchange rates are stationary because inference depends critically on the lag-lengths used to construct the test statistics, a result reinforced by a recent work by Sweeney...