A CUSUM Test for Cointegration Using Regression Residuals

Zhijie Xiao and Peter Phillips

No 1329, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We show that the conventional CUSUM test for structural change can be applied to cointegrating regression residuals leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modified residuals to correct for endogeneity and serial correlation and to scale out nuisance parameters. The limit distribution of the test is derived under both the null and the alternative hypothesis. The tests are easy to use and are found to perform quite well in a Monte Carlo experiment.

Keywords: Bandwidth; CUSUM test; Fully modified regression; Null of cointegration; Residual based test; Semiparametric method (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2001-09
Note: CFP 1046.
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Published in Journal of Econometrics (2002), 108: 43-61

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d13/d1329.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: A CUSUM test for cointegration using regression residuals (2002)
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:cwl:cwldpp:1329

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().