Cointegration

Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise

This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a nearly integrated process with a low signal-to-noise-ratio. This combination of persistent, yet low variance error …

Unit Roots, Cointegration and Pre-Testing in VAR Models

This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and …

Residuals-based Tests for the Null of No-Cointegration: An Analytical Comparison

This article studies the asymptotic distribution of five residuals‐based tests for the null of no‐cointegration under a local alternative when the tests are computed using both ordinary least squares (OLS) and generalized least squares …

Optimal Power for Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, …

An Analytical Evaluation of the Power of Tests for the Absence of Cointegration

This paper proposes a theoretical explanation for the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization, this paper analytically computes the power of four tests for the …