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A Simple Test for Cointegration

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Author Info
Leybourne, S J
McCabe, B P M

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Abstract

This note proposes a simple test for cointegration in which, unlike conventional test procedures, the presence of cointegration forms the null hypothesis to be tested. The test statistic is constructed under the assumption of normality and then it's asymptotic distribution is derived under considerably more general conditions. Selected critical values of this distribution, computed from Monte Carlo simulations, are presented. Copyright 1994 by Blackwell Publishing Ltd

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

Volume (Year): 56 (1994)
Issue (Month): 1 (February)
Pages: 97-103
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Handle: RePEc:bla:obuest:v:56:y:1994:i:1:p:97-103

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049

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  1. David E. A. Giles & Gugsa T. Werkneh & Betty J. Johnson, 1999. "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data," Econometrics Working Papers 9911, Department of Economics, University of Victoria. [Downloadable!]
    Other versions:
  2. David E. A. Giles & Betty J. Johnson, 1999. "Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data," Econometrics Working Papers 9910, Department of Economics, University of Victoria. [Downloadable!]
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  3. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria. [Downloadable!]
  4. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  5. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/452, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  6. Uwe Hassler, 2002. "The Effect of Linear Time Trends on Cointegration Testing in Single Equations," Darmstadt Discussion Papers in Economics 111, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
  7. David I. Harvey & Stephen J. Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor and Francis Journals, vol. 35(2), pages 163-177, January. [Downloadable!] (restricted)
  8. Josep Lluís Carrion-i-Silvestre & Andreu Sansó, 2005. "Testing the Null of Cointegration with Structural Breaks," DEA Working Papers 10, Universitat de les Illes Balears, Departament d'Economía Aplicada. [Downloadable!]
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