We completely share the reviewer’s view that despite Biehl’s PF/FP essay, almost everyone follows the standard approach, and we do the same. Our observation is just a restatement of the proposition that our approach is traditional.
More generally, we venture the highly subjective view that despite the immense mathematical sophistication of cointegration tests and their application in perhaps thousands of studies, it is not obvious how much additional substantive insight has been gained in the wide variety of contexts in which these tests have been used.”