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 …

system exhibits mean-reversion (threshold cointegration). Contrary to the unit root hypothesis, this approach can be given a … adjusted form, cannot be rejected when a threshold cointegration model is estimated. The threshold cointegration model may not …

of the data. A Bayesian test of cointegration is also developed. The model is used to assess the validity of the Fisher …

change in operating procedures of the Fed in September 1979. This finding casts some doubts on cointegration tests of the …

maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the … power properties among the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with …

(1997). The use of cointegration techniques enables to include this generated regressor to the estimation equation, because … asymptotically vanishes when unit root methods are applied. In this work the primary method in the cointegration analysis is the …