This note illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e. ADF, Zt, or Zx) with a system-based test (trace or maximum eigenvalue) is very low. With data generating processes under the null or 'near' it, the two types of tests can yield virtually any combination of p-values regardless of sample size.
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Paper provided by Queen's University, Department of Economics in its series Working Papers with number
973.
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
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