Testing for the 'Existence of a Long-run Relationship'
This paper develops a new approach to testing for the existence of a linear long-run relationship, when the orders of integration of the underlying regressors are not known with certainty. The test is the standard Wald or F statistic for testing the significance of the lagged levels of the variables in a first-difference regression. The asymptotic distributions of these statistics are non-standard under the null hypothesis that there exists no long-run relationship between the levels of the included variables. Two sets of asymptotic critical values are provided: one set assuming that all regressors are I(1), and another assuming they are all I(0). These provide a band covering all possible classifications of the regressors into I(0), I(1) or mutually cointegrated.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
When requesting a correction, please mention this item's handle: RePEc:cam:camdae:9622. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Howard Cobb)
If references are entirely missing, you can add them using this form.