periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a …

-known residual-based test for cointegration in linear models by Engle and Granger (1987) and obtain its nonlinear analogue. We derive … cointegration, whereas the linear-based tests fail to do so. Further analysis of impulse response functions of error correction …

Standard tests for the rank of cointegration of a vector autoregressive process present distributions that are affected … to the study of cointegration properties between global temperatures and the radiative forcing of human gas emissions. We …

In this paper, tests for fractional cointegration that allow for structural breaks in the long-run equilibrium are … proposed. Traditional cointegration tests cannot handle shifts in fractional cointegration relationships, a limitation … addressed here by allowing for a time-dependent memory parameter for the cointegration error. The tests are implemented by …

We extend the monitoring of structural breaks in classic cointegration proposed by Wagner and Wied (2017) to explicitly … allow for fractional cointegration and breaks in these fractional relations with possible deterministic trends. To estimate … behavior of our test and compare it to the one by Wagner and Wied (2017) in different scenarios of fractional cointegration. To …

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several … versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition … integration order. Furthermore, this time series vector is said to be cointegrated if there exists a cointegration in any of the …