The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown by simulation that the small sample distribution is not well approximated by the limiting distribution. We suggest using the bootstrap to generate small sample critical values instead of correcting the test statistics. The idea of bootstrapping the trace test of cointegration ...

We propose a new transaction-level bivariate log-price model, which yields fractional or standard cointegration. To the best of our knowledge, all existing models for cointegration require the choice of a fixed sampling interval ∆t. By contrast, our proposed model is constructed at the transaction level, thus determining the properties of returns at all sampling frequencies. The two ingredients...

In this paper, cointegration relationships among 26 global stock market indices over the periods of sub-prime and European debt crisis and their influence rank are investigated by constructing and analyzing directed and weighted cointegration networks. The obtained results are shown as follows: the crises have changed cointegration relationships among stock market indices, their cointegration r...

This essay introduces a new featured section, to be published in Small Axe annually, that explores the critical vocabulary of field Caribbean studies.

This paper examines whether or not immigration has a positive influence on the duration of unemployment, in a macroeconomic perspective. We analyse also whether the degree of labor market integration can influence migration. The integration of immigrants into the labor market is a recurrence theme in the work on the economic consequences of immigration. However, to our knowledge, no researchers...

The distribution of a functional of two correlated vector Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both tabulated critical val...

This paper studies the effects of increasing the frequency of observation and the data span on the Johansen cointegration tests. The ability of the tests to detect cointegration depends more on the total sample length than the number of observations.  2000 Elsevier Science S.A. All rights reserved.

This paper examines empirically the tourism impact on the long-run economic growth of Greece by using the causality analysis among real gross domestic product, real effective exchange rate and international tourism earnings. A multivariate autoregressive VAR model is applied for the examined period 1960:Ι – 2000:IV. The results of cointegration analysis suggested that there is one cointegrated ...