Surplus-lag testing has been proposed as a means of undertaking persistence-robust causality analysis irrespective of the integrated nature of economic and/or financial series under examination. The present paper examines whether this suggested robustness holds when considering series...

This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson's dynamic ordinary least squares (DOLS) estimator and Bewley's...