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  • 1
    Electronic Resource
    Electronic Resource
    A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration (1994)
    New York : Cambridge University Press
    Econometric theory 10 (1994), S. 91-115 
    Details
    ISSN: 0266-4666
    Source: Cambridge Journals Digital Archives
    Topics: Economics
    Notes: This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1017/S0266466600008240
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