Critical values for an F-test for cointegration in a multivariate model

Athina Kanioura and Paul Turner ()

Applied Economics, 2005, vol. 37, issue 3, 265-270

Abstract: Critical values for a test for cointegration are generated based on the joint significance of the levels terms in an error-correction equation. It is shown that the appropriate critical values are higher than those derived from the standard F-distribution. The power properties of this test are compared with those of the Engle-Granger (Econometrica, 55, 251-76, 1987) test and Kremers et al.'s (Oxford Bulletin of Economics and Statistics, 54(3), 325-48, 1992) t-test based on the t-statistic from an error-correction equation. The F-test has higher power than the Engle-Granger test but lower power than the t-form of the error-correction test. However, the F-form of the test has the advantage that its distribution is independent of the parameters of the problem being considered. Finally, a test is considered for cointegration between UK and US interest rates. It is shown that the F-test rejects the null of no cointegration between these variables although the Engle-Granger test fails to do so.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840412331315051 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:37:y:2005:i:3:p:265-270

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840412331315051

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().