US domestic sugar prices have been maintained substantially above world prices engendering sugar substitutes (notably high fructose corn syrup, HFCS) to be sold at a discount to sugar Ð a discount of 10 Ð 30% (Greer, 1991; USDA, 1990). Sugar substitutes have been successful in capturing as much as 42% of the US caloric sweetener market by 1984 (Leu, Schmitz and Knutson, 1987). This paper invest...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the …rst generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might ...

The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging ma...

Two versions of a fractionally cointegrating vector error correction model (FVECM) are presented. In the case of regular cointegration, linear combinations of fractionally integrated variables are integrated to lower order. Generalized cointegration is de…ned as the case where the cointegrating variables may be fractional di¤erences of the observed series. The concepts are applied to a model of...

A critical review of cointegration is presented in this paper, emphasizing some limitations of this approach to testing causal relations in Econometrics. We present an application of cointegration tests to the relation between Private Consumption and Gross Domestic Product in 25 OECD countries, during the period 1960-97, and the results confirm those limitations and the convenience of giving mo...

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have little impact on Afric...

We present cointegration analysis as a method to infer the network structure of a linearly phase coupled oscillating system. By defining a class of oscillating systems with interacting phases, we derive a data generating process where we can specify the coupling structure of a network that resembles biological processes. In particular we study a network of Winfree oscillators, for which we pres...

This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...

A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends Ž . are defined. The statistical model for cointegrated I 1 variables is defined, and it is shown how hypotheses on the cointegrating relations can be estimated under suitable identification conditions. The asymptotic theory is b...

Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests....