Economics at your fingertips  

Testing for Stationarity in a Cointegrated System

Robert Kunst ()

No 117, Economics Series from Institute for Advanced Studies

Abstract: In systems of variables with a specified or already identified cointegrating rank, stationarity of component variates can be tested by a simple restriction test. The implied decision is often in conflict with the outcome of unit root tests on the same variables. Using a framework of Bayes testing and decision contours, this paper searches for a solution to such conflict situations in sample sizes of empirical relevance. It evolves from the decision contour evaluations that the best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test that accounts for the other system variables, whereas strictly univariate unit-root tests do not help much in the decision of interest.

Keywords: Bayes test; Unit roots; Cointegration; Decision contours (search for similar items in EconPapers)
JEL-codes: C11 C12 C15 C32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2002-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) First version, 2002 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found ( [301 Moved Permanently]-->

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:

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Josefstädterstr. 39, A-1080 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies Josefstädterstr. 39, A-1080 Vienna, Austria. Contact information at EDIRC.
Bibliographic data for series maintained by Doris Szoncsitz ().

Page updated 2023-06-04
Handle: RePEc:ihs:ihsesp:117