Cointegration of the prices of gold and silver: RALS-based evidence

Much significant research has been done to study the cointegration link between the prices of gold and silver. Empirical results reported in earlier research suggest that the strength of the cointegration link changed over time, possibly reflecting the impact of bubble-like periods and financial crises. Against this background, a Residual Augmented Least Squares (RALS) test for noncointegration was used to study cointegration of the prices of gold and silver. Application of the RALS test yielded stronger evidence against noncointegration than was obtained based on a standard Dickey-Fuller test, but a cointegration link did not exist during extended periods of time.