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A cautionary note on cointegration testing

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Author Info
Michael Sumner

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Abstract

Inferences from the Johansen procedure regarding cointegration, and the magnitude, significance and even the sign of the estimated parameters of a familiar macroeconomic relation, are shown to be extremely sensitive to the treatment of its deterministic components and to the assumed lag structure. An unrestricted error-correction model yields unambiguous inferences and performs better in a range of tests.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 5 (April)
Pages: 275-278
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Handle: RePEc:taf:apeclt:v:11:y:2004:i:5:p:275-278

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This page was last updated on 2009-12-5.

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