NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Low-Frequency Robust Cointegration Testing

Ulrich Müller, Mark W. Watson

NBER Working Paper No. 15292
Issued in August 2009

---- Acknowledgements -----

We thank participants of the Cowles Econometrics Conference, the NBER Summer Institute and the Greater New York Metropolitan Area Econometrics Colloquium, and of seminars at Chicago, Cornell, Northwestern, NYU, Rutgers, and UCSD for helpful discussions. Support was provided by the National Science Foundation through grants SES-0518036 and SES-0617811. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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