The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by … derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is …

cointegration tests are not robust to the peculiar characteristics of electricity prices time series, we adapt and further develop a …

The paper compares the cointegration methods of Johansen and Bierens by means of simulations and a real world example …

techniques eliminate the endogeneity problems of conventional cointegration methods with near integrated regressors and robustify … concerns about the use of cointegration methodology when roots are in the vicinity of unity rather than precisely at unity. …

Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short … run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are … formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same …