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REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

Michael Jansson () and Niels Haldrup ()

Econometric Theory, 2002, vol. 18, issue 6, 1309-1335

Abstract: This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

Date: 2002
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