Conflicts Among Tests For Cointegration

Allan Gregory and Alfred Haug

No 973, Working Paper from Economics Department, Queen's University

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.

Keywords: P-Value; Single-Equation Residual-Based Test; System-Based Test (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 0 pages
Date: 1998-08
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Citations: View citations in EconPapers (1)

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