In this thesis, we study a smooth-transition type of nonlinear cointegration among a dynamic system. Base on the Logistic Smooth Transition Autoregressive (LSTAR) models, the definition of cointegration which is extended form Engle and Granger (1987)’s definition of linear cointegration is introduced. Then statistical test for linear cointegration against nonlinear cointegration is derived. The...

In this paper we use cointegration analysis and the Law of One Price to test for proportionality between hake prices at different stages along the value chain in the French hake market. Cointegration analysis is an appropriate means of testing for price proportionality when price series are non-stationary, as was found to be the case for hake prices in France. Estimates of the relative size of ...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the likelihood ratio test statistic for finitesample bias, and iii) fitting the model over longer data sets. We...

This paper offers a detailed assessment of the Balassa-Samuelson (BS) effect in eight Central and Eastern European countries (CEEC8). Several features distinguish this study from others: First, we investigate a variety of specifications of extended models. Nonhomogeneity of wages, deviations from PPP in tradables and demand side variables are found to importantly contribute to explain inflation...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the …rst generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might ...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might...

Abstract This study conducts an investigation into the extent of cointegration between imports and exports and asymmetries in the adjustment of the US current account over the study period 1960Q4-2007Q2. We find evidence in favour of cointegration through the application of the standard Johansen methodology. Employing the Trace test procedure recursively, two distinct regimes are identified acc...