This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

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 …

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests … cointegration tests. These Monte Carlo findings underscore the importance of either using economic theory as a guide to data …

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 …

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 …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …