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

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. …

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 …

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 …

testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of … causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of …