Cointegration - Open Access .click

Statistical Methodology, 2015
This paper is concerned with the estimation and inference for a threshold VECM with more than one cointegrating relation thus extending the literature in this context which has mostly considered only one cointegrating relationship so far. We then go on to develop an appropriate test for the number of cointegrating relationships in a threshold VECM ...
Krishnakumar, Jaya, Neto, David
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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics

The Journal of Finance, 1994
ABSTRACTMultivariate tests due to Johansen (1988, 1991) as implemented by Baillie and Bollerslev (1989a) and Diebold, Gardeazabal, and Yilmaz (1994) reveal mixed evidence on whether a group of exchange rates are cointegrated. Further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly ...
Baillie, Richard T, Bollerslev, Tim
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Seasonal Integration and Cointegration * [PDF]

Journal of Econometrics, 1990
Abstract Abstract. This paper develops tests for roots in linear time series which have a modulus of one but which correspond to seasonal frequencies. Critical values for the tests are generated by Monte Carlo methods or are shown to be available from Dickey-Fuller or Dickey-Hasza-Fuller critical values.
Hylleberg, Svend +3 more
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Time-varying cointegration, identification, and cointegration spaces

Studies in Nonlinear Dynamics and Econometrics, 2013
We derive the conditions under which time-varying cointegration leads to cointegration spaces that may be time-invariant or, in contrast, time-varying. The model of interest is a vector error correction model with arbitrary time-varying cointegration parameters.
Martins, LF, Gabriel, VJ
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