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Dynamic Specification and Cointegration

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Author Info
Boswijk, Peter
Franses, Philip Hans

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Abstract

Augmenting a first-order dynamic regression model by adding particular redundant regressors gives a least-squares estimator of the lagged-dependent variable coefficient that is independent of nuisance parameters under a null hypothesis. This estimator and its t ratio have finite sample null distributions that differ considerably from Student's, but they can be determined exactly by simulation. The invariance properties indicate that for cointegration tests one redundant regressor (the constant or the linear trend) suffices for obtaining similarity. These results generalize characteristics of the Dickey-Fuller tests for unit roots. In a simulation study, the authors examine the invariance and power of various tests in simple illustrative models. Copyright 1992 by Blackwell Publishing Ltd

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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: 369-81
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Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:369-81

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  5. Pashourtidou, Nicoletta & O'Brien, Raymond, 2003. "Irrelevant Variables in Cointegration Analysis," Discussion Paper Series In Economics And Econometrics 0305, Economics Division, School of Social Sciences, University of Southampton. [Downloadable!]
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  8. Hassink, W.H.J. & Broersma, L., 1993. "Labour demand and job-to-job movement : macro-consequences as a result from micro-economic behaviour," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  9. Österholm, Pär, 2003. "Testing for Cointegration in Misspecified Systems –A Monte Carlo Study of Size Distortions," Working Paper Series 2003:21, Uppsala University, Department of Economics. [Downloadable!]
  10. Allan W. Gregory & Alfred A. Haug & Nicoletta Lomuto, 2004. "Mixed signals among tests for cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 89-98. [Downloadable!]
  11. David Aristei & Luca Pieroni, 2005. "Estimating the Role of Government Expenditure in Long-run Consumption," Quaderni del Dipartimento di Economia, Finanza e Statistica 13/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica. [Downloadable!]
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  15. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
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