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Conflicts Among Tests For Cointegration

Author

Listed:
  • Allan Gregory

    (B.A. (Toronto), Ph.D. (Queen's))

  • Alfred Haug

Abstract

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.

Suggested Citation

  • Allan Gregory & Alfred Haug, 1998. "Conflicts Among Tests For Cointegration," Working Paper 973, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:973
    as

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    Cited by:

    1. Livio Di Matteo & Rosanna Di Matteo, 2001. "Public Homecare Expenditures in Canada," Canadian Public Policy, University of Toronto Press, vol. 27(3), pages 313-333, September.

    More about this item

    Keywords

    P-Value; Single-Equation Residual-Based Test; System-Based Test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

    Statistics

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