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A note on Phillips-Perron-type statistics for cointegration testing

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  • Uwe Hassler

    (Goethe-University Frankfurt)

Abstract

We introduce two trace statistics for the null hypothesis of no cointegration that nonparametrically correct for serial correlation in the spirit of Phillips-Perron. The limiting distributions are free of nuisance parameters. One of them coincides with the asymptotic distribution of Johansen's trace statistic. Hence, this statistic is applicable without further tabulation of critical values.

Suggested Citation

  • Uwe Hassler, 2006. "A note on Phillips-Perron-type statistics for cointegration testing," Economics Bulletin, AccessEcon, vol. 3(17), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-06c40007
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    References listed on IDEAS

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    1. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 473-495.
    2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    3. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    7. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
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    Cited by:

    1. Jorg Breitung & Gianluca Cubadda, 2009. "Testing for cointegration in high-dimensional systems," CEIS Research Paper 148, Tor Vergata University, CEIS, revised 30 Sep 2009.

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