A Parametric approach to testing the null of cointegration

Brendan McCabe, Stephen Leybourne (steve.leybourne@nottingham.ac.uk) and Yongcheol Shin

Journal of Time Series Analysis, 1997, vol. 18, issue 4, 395-413

Abstract: A residual‐based test for cointegration is proposed where a parametric adjustment is made to account for the possible stationarity of the disturbance vector. Allowance is also made for the regressor variables to be cointegrated among themselves. The parametric adjustment turns out to be more robust and powerful than tests based on long‐run variance estimators according to theoretical and simulation evidence.

Date: 1997
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