Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables

In Choi, Joon Y. Park and Byungchul Yu

Econometric Theory, 1997, vol. 13, issue 06, pages 850-876

Abstract: This paper introduces tests for the null of cointegration in the presence of I(1) and I(2) variables. These tests use residuals from Park's (1992, Econometrica 60,119 21) and Stock and Watson (1993, Econometrica 61, 783 820). Asymptotic theory for CCR in the presence of I(1) and I(2) variables is also introduced. The distributions of the cointegration tests are nonstandard, and hence their percentiles are tabulated by using simulation. Monte Carlo simulation results to study the finite sample performance of the CCR estimates and the cointegration tests are also reported.

Date: 1997

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:06:p:850-876_00

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