The Effect of Linear Time Trends on Single Equation Cointegration Testing
AbstractShin (1994) and McCabe, Leybourne and Shin (1997) introduced residual-based tests for the null hypothesis of cointegration; Boswijk (1994) and Banerjee, Dolado and Mestre (1998) suggested error-correction tests for the null hypothesis of NO cointegration. This paper supplements their work. They provide critical values for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear time trends. This does not mean that detrending is required. In this paper adequate percentiles are suggested for the case that series follow linear time trends but tests are based on regressions without detrending. They are readily available from the literature.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 1111.
Date of creation: 01 Mar 1999
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Claudia M. Buch, 2001. "Cross-Border Banking and Transmission Mechanisms: The Case of Europe," Kiel Working Papers 1063, Kiel Institute for the World Economy.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).
If references are entirely missing, you can add them using this form.