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

This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and … Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these … employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1 …

null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The …

rates are integrated of order one, one would expect to find three linearly independent cointegration relations in the system … series we find indeed the theoretically expected three cointegration relations, in contrast to previous studies based on …

-stationarity of hours worked. In addition, taking these results together, there is no indication of cointegration among the individual …

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …

seasonal unit roots prior to estimation, model selection and forecasting. Various Box-Jenkins Autoregressive Integrated Moving …