The effects of I(1) series on cointegration inference

Under traditional cointegration tests, some eligible I(1) time series systems Xt, that are not cointegrated over a given time period, say (0, T1], sometimes test as cointegrated over sub-periods. That is, the system appears to have a stationary linear

• Type: Journal
• Year: 2002
• Where: JAMDS
• Authors: Yan-Xia Lin, Michael McCrae
• Keywords: JAMDS 2002, Time Period, Time Series Systems, Traditional Cointegration Tests