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Cointegration and the joint confirmation hypothesis

  • Gabriel, Vasco J.

Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.

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File URL: http://www.sciencedirect.com/science/article/B6V84-46SNFBV-1/2/f3090e8323dae709b271d5d97c873194
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 78 (2003)
Issue (Month): 1 (January)
Pages: 17-25

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Handle: RePEc:eee:ecolet:v:78:y:2003:i:1:p:17-25
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
  2. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  3. Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Universite de Montreal, Departement de sciences economiques.
  4. Vasco J. Gabriel, 2001. "Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison," NIPE Working Papers 7/2001, NIPE - Universidade do Minho.
  5. Charemza, Wojciech W. & Syczewska, Ewa M., 1998. "Joint application of the Dickey-Fuller and KPSS tests," Economics Letters, Elsevier, vol. 61(1), pages 17-21, October.
  6. Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, EconWPA.
  7. Carrion-i-Silvestre, Josep Lluis & Sanso-i-Rossello, Andreu & Ortuno, Manuel Artis, 2001. "Unit root and stationarity tests' wedding," Economics Letters, Elsevier, vol. 70(1), pages 1-8, January.
  8. Leybourne, S J & McCabe, B P M, 1999. "Modified Stationarity Tests with Data-Dependent Model-Selection Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(2), pages 264-70, April.
  9. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
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