Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends

Uwe Hassler

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Banerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267-283) introduce an error-correction test for the null hypothesis of no cointegration. The present paper supplements their work. They provide critical values for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear trends. This does not mean that detrending is required. Correct percentiles are suggested for the case that series follow linear time trends but tests are based on regressions without detrending. They are readily available from the literature.

Keywords: integrated; series; with; drift; effect; of; not; detrending (search for similar items in EconPapers)
Date: 1999-10
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Journal Article: Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6371

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