Cointegration and the joint confirmation hypothesis

Vasco J. Gabriel

No 12/2001, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: Recent papers by Charemza and Syczewska (1998) and Carrion, Sansó and Ortuño (2001) focused on the joint use of unit root and stationarity tests. In this paper, the discussion is extended to the case of cointegration. Critical values for testing the joint confirmation hypothesis of no cointegration are computed and a small Monte Carlo experiment evaluates the relative performance of this procedure.

Keywords: Cointegration; Joint confirmation hypothesis; Monte Carlo simulations. (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 (search for similar items in EconPapers)
Date: 2001
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