models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

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 …

The method of cointegration analysis for modeling nonstationary economic time series variables has become a dominant … paradigm in empirical economic research. Critics argue that a cointegration analysis produces results that are, at best …, useless and, at worst, dangerous. In this research, we explain why and how the use of a cointegration analysis in economic …

asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing …

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …