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We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
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This paper considers cointegration tests for dynamic systems where the number of variables is large relative to the … relationships. It is well known that conventional cointegration tests based on a parametric (vector autoregressive) representation … propose nonparametric cointegration tests based on eigenvalue problems that are asymptotically free of nuisance parameters …
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In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...
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