adequately captured by the cointegration and error- correction models. Income and interest rate elasticities are found to be …

's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …

's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …

.e. threshold cointegration, applying nonparametric methods. Three different data sets representing two different long-run relations … cointegration in these data sets. Furthermore, using Monte Carlo simulations we show that undetected threshold cointegration leads … implies the wide-spread view that the longer the observation period the better suited are cointegration techniques has to be …

Results from cointegration tests clearly suggest that TFP and the relative price of investment (RPI) are not …

cointegration and to estimate the number of cointegrating vectors. A single cointegrating relationship is found among the set of non … not seem to have a significant effect on tourism demand from Malaysia to Australia when the cointegration technique is …

best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …