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

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Author Info
Uwe Hassler () (Goethe-University Frankfurt)

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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.

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File URL: http://economicsbulletin.vanderbilt.edu/2006/volume3/EB-06C40007A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2006)
Issue (Month): 17 ()
Pages: 1-7
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Handle: RePEc:ebl:ecbull:v:3:y:2006:i:17:p:1-7

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Related research
Keywords: integrated time series; nonparametric correction; trace tests;

Find related papers by JEL classification:
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

References listed on IDEAS
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  1. Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 473-95, August. [Downloadable!] (restricted)
    Other versions:
  2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
    Other versions:
  3. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  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. [Downloadable!]
Statistics
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This page was last updated on 2009-12-12.

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