Residual Based Tests for Cointegration with GLS Detrended Data

Pierre Perron and Gabriel Rodríguez

Working Papers from University of Ottawa, Department of Economics

Abstract: We propose residual based tests for cointegration using local GLS detrending (Elliott, Rothemberg and Stock (1996), ERS) to eliminate separately the deterministic components in the series. We consider two cases, one where only a constant is included and one where a constant and a time trend are included.

Keywords: ECONOMETRICS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C2 C3 C5 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2000
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Citations: View citations in EconPapers (30)

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Working Paper: Residuals-based Tests for Cointegration with GLS Detrended Data (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ott:wpaper:0004e

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