Existing methods for constructing confidence bands for multivariate impulse response functions may have poor coverage at long lead times when variables are highly persistent. The goal of this paper is to propose a simple method that is not pointwise …
Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, …
This paper proposes a theoretical explanation for the common empirical results in which different tests for cointegration give different answers. Using local to unity parametrization, this paper analytically computes the power of four tests for the …