the Conformity test (CCT) for the existence and rank of cointegration, as given in Johansen (J) (1988), (1991), and the … CCT has very good power characteristics in detecting the rank of cointegration, but it exhibits some size distortions that …

for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Fractional … cointegration would imply that, although there exists a long-run relationship, the equilibrium errors exhibit slow reversion to zero …. It is found that the null hypothesis of no cointegration cannot be rejected for Japan. By contrast, there is some …

characterization of the series is an end in itself. More often, unit root testing is a preliminary step, followed by cointegration … variable deletion strategy could be followed instead. Even where cointegration restrictions are sought, some commentators have … questioned the value of unit root and cointegration tests, arguing that restrictions based on theory are at least as effective as …

considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques …