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A Parametric approach to testing the null of cointegration
Author(s) -
McCabe B. P. M.,
Leybourne S. J.,
Shin Y.
Publication year - 1997
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00058
Subject(s) - cointegration , mathematics , estimator , parametric statistics , econometrics , residual , allowance (engineering) , variance (accounting) , statistics
A residual‐based test for cointegration is proposed where a parametric adjustment is made to account for the possible stationarity of the disturbance vector. Allowance is also made for the regressor variables to be cointegrated among themselves. The parametric adjustment turns out to be more robust and powerful than tests based on long‐run variance estimators according to theoretical and simulation evidence.