A note on Phillips-Perron-type statistics for cointegration testing

Uwe Hassler

Economics Bulletin, 2006, vol. 3, issue 17, 1-7

Abstract: We introduce two trace statistics for the null hypothesis of no cointegration that nonparametrically correct for serial correlation in the spirit of Phillips-Perron. The limiting distributions are free of nuisance parameters. One of them coincides with the asymptotic distribution of Johansen's trace statistic. Hence, this statistic is applicable without further tabulation of critical values.

Date: 2006-07-07
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