A new robust sign test for cointegration

Yujin Oh and Beong Soo So

Applied Economics Letters, 2008, vol. 15, issue 12, 971-974

Abstract: We propose new tests for cointegration based on signs of the residuals of the conventional t-test. Our tests have the limiting normal distribution under the null hypothesis and are robust to heavy tailed disturbances. A Monte-Carlo simulation shows the new tests have a stable size property and are locally more powerful than that of Engle and Granger (1987) for heavy tailed error distribution.

Date: 2008
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DOI: 10.1080/13504850600972287

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