processes, mimeo, Department of Economics, Humboldt University Berlin.
Nelson,C.R. and C.I.Plosser, 1982, Trends and random walks in macroeconomic time series,
Journal of Monetary Economics 10, 139-162.
Park,J.Y., 1990, Testing for unit root and cointegration by variable addition, Advances in
Econometrics 8, 107-133.
Perron,P. and J.Y.Campbell, 1993, A note on Johansen’s cointegration procedure when
trends are present, Empirical Economics 18, 777-789.
Phillips,P.C.B., 1987, Time series regression with unit roots, Econometrica 55, 277- 302.
Phillips,P.C.B., 1991, Optimal inference in cointegrated systems, Econometrica 59, 283-
306.
Phillips,P.C.B. and S.Ouliaris, 1990, Asymptotic properties of residual based tests for
cointegration, Econometrica 58, 165-193.
Phillips,P.C.B. and P.Perron, 1988, Testing for a unit roots in time series regression,
Biometrika 75, 335-346.
Phillips,P.C.B. and V.Solo, 1992, Asymptotics for linear processes, Annals of Statistics
20, 971-1001.
Schotman,P.C. and H.K.Van Dijk, 1991, On Bayesian routes to unit roots, Journal of
Applied Econometrics 6, 387-401.
Stock,J.H. and M.W.Watson, 1988, Testing for common trends, Journal of the American
Statistical Association 83, 1097-1107.
Sims,C.A., J.H.Stock and M.W.Watson, 1990, Inference in linear time series models with
some unit roots, Econometrica 58, 113-144.
Toda, H.Y., 1994, Finite sample properties of likelihood ratio tests for cointegrating ranks
when linear trends are present, Review of Economics and Statistics 76, 66-79
Van Giersbergen, N.P.A., 1994), Comment on "Nonparametric cointegration analysis",
mimeo, Department of Econometrics, University of Amsterdam
TABLES
32