In this paper, the discussion concerning the joint use of unit root and stationarity tests is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this approach.

Introns 2 and 4 of the psbA gene of Chlamydomonas reinhardtii chloroplasts (Cr.psbA2 and Cr.psbA4, respectively) contain large free-standing open reading frames (ORFs). We used transformation of an intronless-psbA strain (IL) to test whether these introns undergo homing. Each intron, plus short exon sequences, was cloned into a chloroplast expression vector in both orientations and then cotrans...

This paper studies asymptotic and finite sample properties of statistics devised to test for the null of no cointegration in nonstationary pooled time series panels as both the cross section and time series dimensions grow large. The paper finds that for panels with homogenous long run parameters, the spurious regression coefficient estimates become consistent even under the null of no cointegr...

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts generate trends that are diierent across the seasons. Since such seasonal trends may not appear in e...

This paper aims to investigate the links between exchange rate pass-through (ERPT) and monetary policy. We examine the degree of ERPT to consumer prices for 11 emerging markets (6 inflation targeters and 5 non-inflation targeters) using both multivariate cointegrated VAR (CVAR) and impulse responses derived from the vector error correction model (VECM). Results of cointegration analyses suggest...

In this paper we develop a canonical state space representation for rational stochastic processes containing unit roots with integer integration orders at arbitrary points on the unit circle. It is shown that the state space framework, which is – in a certain sense made precise in the paper – equivalent to the ARMA framework, is very suitable for the analysis of unit roots and cointegration iss...

In this paper, a synthesis of the recently advanced Lagrange multiplier (LM)-based tests for the null of no cointegration which account for different patterns of breaks in the cointegrating relationship is provided. The limiting distributions of the test statistics are not only invariant to an intercept break and a break in the cointegrating vector, but are also invariant to a trend break in a ...