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Test for cointegration based on two-stage least squares

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  • Norah Al-Ballaa

Abstract

A residual-based test for cointegration is proposed. The method of two-stage least squares is used to estimate the cointegration model parameters. The residuals are then tested for the existence of a unit root using the augmented Dickey-Fuller test.

Suggested Citation

  • Norah Al-Ballaa, 2005. "Test for cointegration based on two-stage least squares," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(7), pages 707-713.
    • Handle: RePEc:taf:japsta:v:32:y:2005:i:7:p:707-713
    DOI: 10.1080/02664760500079571
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    References listed on IDEAS

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    3. Song, Nianfu & Chang, Sun Joseph & Aguilar, Francisco X., 2011. "U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations," Journal of Forest Economics, Elsevier, vol. 17(1), pages 19-33, January.

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