Under traditional cointegration tests, some eligibleI(1)time series systemsXt, that are not cointegrated over a given time period, say(0,T1], sometimes test ascointegrated over sub-periods. That is, the system appears to have a stationary linearstructureζ′Xtfor certain vectorζin the period0T1whenXtwas accepted asI(0)fort≤T1.
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