cointegration too often. The correct limiting distribution theory of regressions without detrending in the presence of integrated …This paper surveys the asymptotic distributions of three widely used single equation cointegration tests. Particular …

test for the null hypothesis of no cointegration. It builds on a static cointegration regression of the levels of the … for eventual endogeneity of the cointegration regression. The proposed modification guarantees a limiting standard normal …

analyze the benefits of a pooled version of the estimate. The empirical applicability of our general cointegration test is …