this assumption. In this paper, we propose robust procedures for a residual-based test of cointegration when the data are … cointegration tests may be subject to substantial size distortions and standard OLS inference may lead to spurious results …

This study investigates the asymptotic and finite-sample properties of KPSS-type cointegra-tion tests that use … provide a consistent test against the al-ternative of no cointegration under traditional small-b asymptotics, and has a … not converge to 1 under the alternative ofno cointegration, which leads to a non-degenerate power in the limit. Simulation …

study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …

This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …

difference model approach of the Okun’s law are used even though one of them is frequently used in the literature. We utilize Var-cointegration …

, and ECM-ARDL model. The results show that there is no cointegration relationship between employment and the FDI in the … other way round. -- employment ; FDI ; cointegration ; causality ; Malaysia …

applied for this purpose in previous studies. -- ARDL model ; cointegration ; euro area ; financial crisis ; money demand …