A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests....

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The empirical evidence based on them suggests the presence of unit roots in both the S&P 500 Index and the ...

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and cointegration spaces. Furthermore, the parameters which characterize short-run dynamics and deterministic c...

According to several empirical studies, the linear present-value model fails to explain the behaviour of stock prices in the long run. We analyse the possible presence of threshold cointegration between real stock prices and dividends for the US market during the period from 1871:1 to 2004:6. According to our results, the null hypothesis of linear cointegration between stock prices and dividend...

China has witnessed a fast economic growth in the recent two decades. However, the heavy energy exploitation seems to show a negative relation to regional economic growth. Thus, the issue is whether the energy production is a curse or blessing for the regional economic growth in China. The present study deploys a comprehensive approach to rigorously prove the validity of a proposed panel data m...