Test for cointegration based on two-stage least squares

Norah Al-Ballaa

Journal of Applied Statistics, 2005, vol. 32, issue 7, 707-713

Abstract: A residual-based test for cointegration is proposed. The method of two-stage least squares is used to estimate the cointegration model parameters. The residuals are then tested for the existence of a unit root using the augmented Dickey-Fuller test.

Keywords: Single-equation approach; residual-based test; two-stage least squares; Monte Carlo (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/02664760500079571

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