Recent Developments in Cointegration

Abstract

This Special Issue contains recent contributions to empirical and theoretical cointegration models. Methodologically oriented papers that combine the two are particularly welcome. I envision papers that, for example, apply cointegration in a novel way, suggest a new way of testing hypotheses in a Cointegrated VAR model, derive new tests motivated by empirical applications, use cointegration analysis to solve interesting problems in macroeconomics and finance, such as the puzzling long, persistent swings around long-run equilibrium values.