cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

recent work on unit root and cointegration testing based non-Gaussian likelihood functions. The essential idea is that such …

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …

functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for … cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both …

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the … estimation or semi-nonparametric density approximations. Thecomparison is completed with a fully nonparametric cointegration test …