We introduce the idea of common serial correlation features among non-stationary, cointegrated variables. That is, the time series do not only trend together in the long run, but adjustment restores equilibrium immediately in the period following a deviation. Allowing for delayed reequilibration, we extend the framework to codependence. The restrictions derived for VECMs exhibiting the common f...

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...

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics, and are related to Hausman speci…cation test statistics: when the memory parameter is common to several series, an...

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches in regime (e.g. Markov switches in regime or structural breaks). An important aspect of our approach is that we allow both the cointegrating vectors and the number of cointegrating relationships to change when the regime changes. We show how Bayesian model averaging or model se...

Cointegration analysis involves the solution of a generalized eigenproblem involving moment matrices and inverted moment matrices. These formulae are unsuitable for actual computations because the condition numbers of the resulting matrices are unnecessarily increased. Our note discusses how to use the structure of the problem to achieve numerically stable computations, based on QR and singular...

The local asymptotic power of many popular non-cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter. The local asymptotic power of the new meta...