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 …
This paper provides a comprehensive comparison of existing methods for constructing confidence bands for univariate impulse response functions in the presence of high persistence. Monte Carlo results show that the methods proposed in Kilian [1999. …
Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent. The goal of this paper is to propose a simple method that is not pointwise …
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 …