We propose a new and easy-to-use method for identifying cointegrated components of
nonstationary time series, consisting of an eigenanalysis for a certain nonnegative definite …

In this paper a nonparametric variance ratio testing approach is proposed for determining
the cointegration rank in fractionally integrated systems. The test statistic is easily calculated …

This paper develops a general framework for conducting inference on the rank of an
unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form. The …

This paper proposes new, simple, and more accurate statistical tests in a cointegrated
system that allows for endogenous regressors and serially dependent errors. The approach …

Bu çalışmada, COVID-19 toplam vaka sayısı ile brent petrol ve altın ons fiyatları arasındaki
uzun dönemli eştümleşme ilişkisi araştırılmıştır. Analiz dönemi olarak 31 Aralık 2019 ile 17 …

This paper investigates the effects of consistent and inconsistent long-run variance
estimation on a test for a unit root, based on the generalization of the von Neumann ratio …

It has been claimed that the deviations from purchasing power parity are highly persistent
and have quite long half‐lives under the assumption of a linear adjustment of real exchange …

This paper investigates the cointegration relationship among a group of international stock
indices in light of new developments of econometric methods. Kasa (1992) first documented …

This paper studies statistical inference on unit roots and cointegration for time series in a
Hilbert space. We develop statistical inference on the number of common stochastic trends …

We investigate the collinearity of vector time series in the frequency domain, by examining
the rank of the spectral density matrix at a given frequency of interest. Rank reduction …