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<li>The cointegration test on <math>\alpha </math> does not follow a standard distribution</li>
<li>The validity of the long-run parameters in the first regression stage where one obtains the residuals cannot be verified because the distribution of the OLS estimator of the cointegrating vector is highly complicated and non-normal</li>
<li>At most one cointegrating relationship can be examined</li>
</ul>
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