Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables
AbstractThis paper introduces tests for the null of cointegration in the presence of I (1) and I (2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I (1) and I (2) variables is also introduced. The distributions of the cointegration tests are nonstandard, and hence their percentiles are tabulated by using simulation. Monte Carlo simulation results to study the finite sample performance of the CCR estimates and the cointegration tests are also reported.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 13 (1997)
Issue (Month): 06 (December)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:email@example.com
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, Elsevier, vol. 95(2), pages 375-389, April.
- Niels Haldrup & Peter Lildholdt, 2005.
"Local power functions of tests for double unit roots,"
Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179.
- Niels Haldrup & Peter Lildholdt, . "Local Power Functions of Tests for Double Unit Roots," Economics Working Papers, School of Economics and Management, University of Aarhus 2000-2, School of Economics and Management, University of Aarhus.
- Niels Haldrup & Peter Lildholdt, . "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers, School of Economics and Management, University of Aarhus 2000-1, School of Economics and Management, University of Aarhus.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If references are entirely missing, you can add them using this form.