Advanced Search
MyIDEAS: Login to save this article or follow this journal

The Power of Cointegration Tests

Contents:

Author Info

  • Kremers, Jeroen J M
  • Ericsson, Neil R
  • Dolado, Juan J

Abstract

A cointegration test statistic based upon estimation of an error-correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a nonstandard asymptotic distribution. When cointegration exists, the error-correction test generally is more powerful than the Dickey-Fuller test. These differences arise because the latter imposes a possibly invalid common factor restriction. The issue is general and has ramifications for system-based cointegration tests. Monte Carlo analysis and an empirical study of U.K. money demand demonstrate the differences in power. Copyright 1992 by Blackwell Publishing Ltd

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 54 (1992)
Issue (Month): 3 (August)
Pages: 325-48

as in new window
Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:325-48

Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Email:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0305-9049

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Nymoen, Ragnar, 1992. "Finnish manufacturing wages 1960-1987: Real-wage flexibility and hysteresis," Journal of Policy Modeling, Elsevier, Elsevier, vol. 14(4), pages 429-451, August.
  2. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 768, Cowles Foundation for Research in Economics, Yale University.
  3. Johansen, S., 1991. "Testing Weak Exogeneity and the Order of Cointegration in UK Money Demand Data," Papers, Helsinki - Department of Economics 78, Helsinki - Department of Economics.
  4. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers, Queen's University, Department of Economics 1227, Queen's University, Department of Economics.
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. HENRY, David F. & RICHARD, Jean-François, . "On the formulation of empirical models in dynamic econometrics," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -502, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  8. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 88(351), pages 549-63, September.
  9. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  10. Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 52(3), pages 389-402, June.
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 59(6), pages 1551-80, November.
  12. Phillips, P.C.B., 1986. "Understanding spurious regressions in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 33(3), pages 311-340, December.
  13. Kremers, Jeroen J. M., 1988. "Long-run limits on the US Federal debt," Economics Letters, Elsevier, Elsevier, vol. 28(3), pages 259-262.
  14. Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, Econometric Society, vol. 56(5), pages 1021-43, September.
  15. Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, Econometric Society, vol. 51(1), pages 153-74, January.
  16. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 49(4), pages 1057-72, June.
  17. Kremers, Jeroen J. M., 1989. "U.S. Federal indebtedness and the conduct of fiscal policy," Journal of Monetary Economics, Elsevier, Elsevier, vol. 23(2), pages 219-238, March.
  18. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 88(352), pages 661-92, December.
  19. Julia Campos & Neil R. Ericsson, 1988. "Econometric modeling of consumers' expenditure in Venezuela," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 325, Board of Governors of the Federal Reserve System (U.S.).
  20. Sargan, J D, 1980. "Some Tests of Dynamic Specification for a Single Equation," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 879-97, May.
  21. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
  22. Neil R. Ericsson & Julia Campos & Hong-Anh Tran, 1991. "PC-give and David Hendry's econometric methodology," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 406, Board of Governors of the Federal Reserve System (U.S.).
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:325-48. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.