Integration for seasonal time series can take the form of seasonal periodic or nonperiodic integration. When seasonal time series are periodically integrated, we show that any cointegration is either ...

System tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag ...

Although recent articles have stressed the importance of testing for unit roots and cointegration in time-series analysis, practitioners have been left without a straightforward procedure to implement ...

Nonlinear cointegration and time series analysis represent a dynamic area of research that extends the classical framework of cointegration by allowing the long-run equilibrium relationships among ...

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We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo ...

In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. For an example system we study the Title Transfer Facility, the Zeebrugge gas spot ...