In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics … substantive effect that incorrect transformation can have on the finite sample performance of common feature and cointegration … tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …

cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests …

equations. In particular, our methodology allows the conditional mean function of a factor augmented forecast equation to be …