An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration

Katsuto Tanaka

Econometric Theory, 1993, vol. 9, issue 01, pages 36-61

Abstract: An alternative approach is taken to the asymptotic theory of cointegration. The present approach gives a different expression for the limiting distributions of statistics associated with cointegration, which enables us to compute accurately the distribution functions. Alternative interpretations of cointegration are given and a notion of near cointegration is introduced. We then devise tests which take cointegration as the null and discuss the limiting local power under the alternative of near cointegration.

Date: 1993

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:9:y:1993:i:01:p:36-61_00

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