Testing for Cointegration

Karim Abadir

Discussion Papers from University of Exeter, Department of Economics

Abstract: Testing for cointegration is now widespread in economics. Although the principle is sound, the practice has not always been so. In this note, an attempt is made to reveal flaws in some applied testing procedures. Incomplete nonstationary-null procedures make cointegration seem more likely than it actually is, while incomplete stationary-null procedures reject it too often. Complete definitions of integration and cointegration are given, some of them extending earlier definitions of these concepts.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1995
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:exe:wpaper:9507

Access Statistics for this paper

More papers in Discussion Papers from University of Exeter, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sebastian Kripfganz ().