whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …

well as to the frequency of type II errors. In contrast, the inclusion of the quasi maximum likelihood theory into the … simulated likelihood ratio test leads to substantial computational problems. The combination of this theory with the simulated …

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 …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic … distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of … local power of the proposed tests dominates that of existing cointegration rank tests. …