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A Test for the Null of Multiple Cointegrating Vectors

  • Javier Fernandez-Macho
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    This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making specific assumptions about the short-run dynamics of the multivariate data generating process.� It is shown that the proposed test statistics are asymptotically distributed as standard chi-square with n + k degrees of freedom and are not affected by the inclusion of deterministic terms or dynamic regressors, thus offering a simple way of testing for cointegration under the null without the need of special tables.� Small sample critical values for these statistics are tabulated using Monte Carlo simulation and it is shown that these non residual-based tests exhibit appropriate size and good power even for quite general error dynamics.� In fact, simulation results suggest that they perform quite reasonably when compared to other tests of the null of cointegration.

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    File URL: http://www.economics.ox.ac.uk/materials/papers/12759/paper657.pdf
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    Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 657.

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    Date of creation: 01 Jun 2013
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    Handle: RePEc:oxf:wpaper:657
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    16. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February.
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    18. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
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