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On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots

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  1. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, vol. 39(1), pages 51-76, August.
  2. Federico Di Pace & Matthias Hertweck, 2019. "Labor Market Frictions, Monetary Policy, and Durable Goods," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 274-304, April.
  3. James A. Duffy & Jerome R. Simons, 2020. "Cointegration without Unit Roots," Papers 2002.08092, arXiv.org, revised Apr 2023.
  4. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
  5. Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii, 2021. "Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg," Forecasting, MDPI, vol. 3(4), pages 1-30, October.
  6. Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
  7. Nick, Sebastian & Thoenes, Stefan, 2014. "What drives natural gas prices? — A structural VAR approach," Energy Economics, Elsevier, vol. 45(C), pages 517-527.
  8. McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
  9. Sophocles N. Brissimis & Petros M. Migiakis, 2016. "Inflation persistence, learning dynamics and the rationality of inflation expectations," Empirical Economics, Springer, vol. 51(3), pages 963-979, November.
  10. Shahid, Rabia & Shahid, Humera & Shijie, Li & Jian, Gao, 2024. "Developing nexus between economic opening-up, environmental regulations, rent of natural resources, green innovation, and environmental upgrading of China - empirical analysis using ARDL bound-testing," Innovation and Green Development, Elsevier, vol. 3(1).
  11. Casey Pender, 2023. "Is Deflation Cause For Panic? Evidence from the National Banking Era," Carleton Economic Papers 23-04, Carleton University, Department of Economics.
  12. Christiane Baumeister & Lutz Kilian, 2014. "Do oil price increases cause higher food prices? [Biofuels, binding constraints, and agricultural commodity price volatility]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(80), pages 691-747.
  13. Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2018. "Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market," Agricultural Economics, International Association of Agricultural Economists, vol. 49(5), pages 623-633, September.
  14. Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, vol. 5(2), pages 1-20, June.
  15. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
  16. ŞENTÜRK, İsmail & Ali, Amjad, 2019. "Socioeconomic Determinants of Gender Specific Life Expectancy in Turkey: A Time Series Analysis," MPRA Paper 97815, University Library of Munich, Germany.
  17. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
  18. Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
  19. Philipp Adämmer & Martin T. Bohl & Christian Gross, 2016. "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(9), pages 851-869, September.
  20. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1719-1760, December.
  21. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006. "Spurious Cointegration: The Engle-Granger Test in the Presence of Structural Breaks," Working Papers 2006-12, Banco de México.
  22. Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  23. Habib Hussain Khan & Nahla Samargandi & Adeel Ahmed, 2021. "Economic development, energy consumption, and climate change: An empirical account from Malaysia," Natural Resources Forum, Blackwell Publishing, vol. 45(4), pages 397-423, November.
  24. Dimitris A. Georgoutsos & Petros M. Migiakis, 2012. "Benchmark Bonds Interactions under Regime Shifts," European Financial Management, European Financial Management Association, vol. 18(3), pages 389-409, June.
  25. Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
  26. Müller, Ulrich K. & Wang, Yulong, 2019. "Nearly weighted risk minimal unbiased estimation," Journal of Econometrics, Elsevier, vol. 209(1), pages 18-34.
  27. Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2022. "The Political Relation and Trade - The Case of US, China and Australia," Economics Discussion / Working Papers 22-06, The University of Western Australia, Department of Economics.
  28. H. Peter Boswijk, 2001. "Block Local to Unity and Continuous Record Asymptotics," Tinbergen Institute Discussion Papers 01-078/4, Tinbergen Institute.
  29. M. Shahe Emran & Forhad Shilpi & M. Imam Alam, 2007. "Economic liberalization and price response of aggregate private investment: time series evidence from India," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 914-934, August.
  30. Chen, Li & Gao, Jiti & Vahid, Farshid, 2022. "Global temperatures and greenhouse gases: A common features approach," Journal of Econometrics, Elsevier, vol. 230(2), pages 240-254.
  31. Jasmien De Winne & Gert Peersman, 2016. "Macroeconomic Effects of Disruptions in Global Food Commodity Markets: Evidence for the United States," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 183-286.
  32. Diebold & Senhadji, "undated". "Deterministic vs. Stochastic Trend in U.S. GNP, Yet Again," Home Pages _054, University of Pennsylvania.
  33. Nikitas Pittis & Christina Christou & Sarantis Kalyvitis & Christis Hassapis, 2009. "Long‐Run PPP under the Presence of Near‐to‐Unit Roots: The Case of the British Pound–US Dollar Rate," Review of International Economics, Wiley Blackwell, vol. 17(1), pages 144-155, February.
  34. Bastianin, Andrea & Galeotti, Marzio & Polo, Michele, 2019. "Convergence of European natural gas prices," Energy Economics, Elsevier, vol. 81(C), pages 793-811.
  35. Sascha Keil, 2023. "The challenging estimation of trade elasticities: Tackling the inconclusive Eurozone evidence," The World Economy, Wiley Blackwell, vol. 46(5), pages 1235-1263, May.
  36. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
  37. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
  38. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
  39. Alexandra Tsiotras & Antonio Estache, 2014. "In the short run, energy efficiency concerns and trade protection hurt each other and growth, but in the long run, not necessarily so: 1980-2010 Latin American Evidence," Working Papers ECARES ECARES 2014-38, ULB -- Universite Libre de Bruxelles.
  40. Tong, Tingting & Yu, Edward & Roberts, Roland K., 2014. "Dynamics of Transport Infrastructure, Exports and Economic Growth in the United States," Journal of the Transportation Research Forum, Transportation Research Forum, vol. 53(1).
  41. Gert Peersman, 2022. "International Food Commodity Prices and Missing (Dis)Inflation in the Euro Area," The Review of Economics and Statistics, MIT Press, vol. 104(1), pages 85-100, March.
  42. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  43. Atsushi Inoue & Lutz Kilian, 2002. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometrica, Econometric Society, vol. 70(1), pages 377-391, January.
  44. Yifei Cai & Jamel Saadaoui & Yanrui Wu, 2024. "Political relations and trade: New evidence from Australia, China, and the United States," Scottish Journal of Political Economy, Scottish Economic Society, vol. 71(3), pages 253-275, July.
  45. Sabzikar, Farzad & Wang, Qiying & Phillips, Peter C.B., 2020. "Asymptotic theory for near integrated processes driven by tempered linear processes," Journal of Econometrics, Elsevier, vol. 216(1), pages 192-202.
  46. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
  47. Angela Huang, 2004. "Examining finite-sample problems in the application of cointegration tests for long-run bilateral exchange rates," Reserve Bank of New Zealand Discussion Paper Series DP 2004/08, Reserve Bank of New Zealand.
  48. Nikolay Gospodinov & Ye Tao, 2011. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 379-405, August.
  49. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
  50. Philippe Goulet Coulombe & Maximilian Gobel, 2020. "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Papers 2005.02535, arXiv.org, revised Mar 2021.
  51. Atanas Christev, 2005. "The Hyperinflation Model of Money Demand (or Cagan Revisited): Some New Empirical Evidence from the 1990s," CERT Discussion Papers 0507, Centre for Economic Reform and Transformation, Heriot Watt University.
  52. James H. Stock & Mark W. Watson, 2017. "Twenty Years of Time Series Econometrics in Ten Pictures," Journal of Economic Perspectives, American Economic Association, vol. 31(2), pages 59-86, Spring.
  53. Pesavento, Elena, 2000. "Analytical Evaluation of the Power of Tests for the Absence of Cointegration," University of California at San Diego, Economics Working Paper Series qt4cq4773c, Department of Economics, UC San Diego.
  54. Zhou, Weilun & Gao, Jiti & Harris, David & Kew, Hsein, 2024. "Semi-parametric single-index predictive regression models with cointegrated regressors," Journal of Econometrics, Elsevier, vol. 238(1).
  55. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  56. Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
  57. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
  58. Hongxun Liu & Jianglong Li, 2018. "The US Shale Gas Revolution and Its Externality on Crude Oil Prices: A Counterfactual Analysis," Sustainability, MDPI, vol. 10(3), pages 1-17, March.
  59. Bosupeng, Mpho, 2017. "On the Effects of the BRICS on World Economic Growth," MPRA Paper 81757, University Library of Munich, Germany, revised 2017.
  60. Jonas D. M. Fisher, 2010. "Comment on "Letting Different Views about Business Cycles Compete"," NBER Chapters, in: NBER Macroeconomics Annual 2009, Volume 24, pages 457-474, National Bureau of Economic Research, Inc.
  61. Bosupeng Mpho, 2016. "The Effect of Exports on Carbon Dioxide Emissions: Policy Implications," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 51(1), pages 20-32, September.
  62. Carlos De Resende, 2007. "Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence," Staff Working Papers 07-36, Bank of Canada.
  63. Nikolay Gospodinov & Damba Lkhagvasuren, 2014. "A Moment‐Matching Method For Approximating Vector Autoregressive Processes By Finite‐State Markov Chains," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 843-859, August.
  64. Phillips, Peter C.B., 2023. "Estimation And Inference With Near Unit Roots," Econometric Theory, Cambridge University Press, vol. 39(2), pages 221-263, April.
  65. Vlatka Bilas & Mile Bošnjak, 2015. "Examining the relationship between banking loans to private individuals growth rate and personal consumption growth rate in Croatia – the cointegration approach," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(1), pages 19-25, December.
  66. Maynard, Alex & Shimotsu, Katsumi, 2009. "Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence," Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
  67. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  68. Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024. "Uncertainty spill-overs: When policy and financial realms overlap," Journal of International Money and Finance, Elsevier, vol. 143(C).
  69. Dierk Herzer, 2019. "The long-run effect of aid on health: evidence from panel cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 51(12), pages 1319-1338, March.
  70. Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
  71. Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan, 2022. "On LASSO for predictive regression," Journal of Econometrics, Elsevier, vol. 229(2), pages 322-349.
  72. Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
  73. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
  74. Liyu Dou & Ulrich K. Müller, 2021. "Generalized Local‐to‐Unity Models," Econometrica, Econometric Society, vol. 89(4), pages 1825-1854, July.
  75. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 554-579, November.
  76. Jasmien De Winne & Gert Peersman, 2021. "The adverse consequences of global harvest and weather disruptions on economic activity," Nature Climate Change, Nature, vol. 11(8), pages 665-672, August.
  77. Ulrich K. Müller & Mark W. Watson, 2018. "Long†Run Covariability," Econometrica, Econometric Society, vol. 86(3), pages 775-804, May.
  78. Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
  79. Ulrich K. Müller & Mark W. Watson, 2024. "Spatial Unit Roots and Spurious Regression," Econometrica, Econometric Society, vol. 92(5), pages 1661-1695, September.
  80. Chevillon, Guillaume, 2007. "Inference in the Presence of Stochastic and Deterministic Trends," ESSEC Working Papers DR 07021, ESSEC Research Center, ESSEC Business School.
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  83. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  84. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
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  88. Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
  89. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
  90. Mohammad Althaqafi, 2023. "The Impact of Natural Gas Prices on Electricity Tariffs in the UK," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 86-91, March.
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  93. Pesavento, Elena & Rossi, Barbara, 2007. "Impulse response confidence intervals for persistent data: What have we learned?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2398-2412, July.
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  105. Jasmien De Winne & Gert Peersman, 2016. "Macroeconomic Effects of Disruptions in Global Food Commodity Markets: Evidence for the United States," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 47(2 (Fall)), pages 183-286.
  106. Sascha Keil, 2021. "The Challenging Estimation Of Trade Elasticities:Tackling The Inconclusive Eurozone Evidence," Chemnitz Economic Papers 042, Department of Economics, Chemnitz University of Technology, revised May 2021.
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  110. Philippe Goulet Coulombe & Maximilian Gobel, 2021. "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Working Papers 21-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
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