The paper addresses the practical determination of cointegration rank. This is difficult for
many reasons: deterministic terms play a crucial role in limiting distributions, and systems …

Climate econometrics is a new sub-discipline that has grown rapidly over the last few years.
As greenhouse gas emissions like carbon dioxide (CO 2), nitrous oxide (N 2 O) and …

This paper develops a new approach to the problem of testing the existence of a level
relationship between a dependent variable and a set of regressors, when it is not known …

This valuable text provides a comprehensive introduction to VAR modelling and how it can
be applied. In particular, the author focuses on the properties of the Cointegrated VAR …

When analysing macroeconomic data it is often of relevance to allow for structural breaks in
the statistical analysis. In particular, cointegration analysis in the presence of structural …

We describe the concept of cointegration, its implications in modelling and forecasting, and
discuss inference procedures appropriate in integrated-cointegrated vector autoregressive …

This paper provides densities and finite sample critical values for the single‐equation error
correction statistic for testing cointegration. Graphs and response surfaces summarize …

This paper contributes to the literature by applying the Granger-causality approach and
endogenous breakpoint test to offer an operational definition of contagion to examine …

This article has two aims. First, we provide a synopsis of the literature on co-breaking that
has developed in several, seemingly disconnected, strands. We establish a consistent …

We consider cointegration tests in the situation where the cointegration rank is deficient. This
situation is of interest in finite sample analysis and in relation to recent work on identification …