Economics at your fingertips  

A Test for the Null of Multiple Cointegrating Vectors

Javier Fernandez-Macho

No 657, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without making specific assumptions about the short-run dynamics of the multivariate data generating process. It is shown that the proposed test statistics are asymptotically distributed as standard chi-square with n + k degrees of freedom and are not affected by the inclusion of deterministic terms or dynamic regressors, thus offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical values for these statistics are tabulated using Monte Carlo simulation and it is shown that these non residual-based tests exhibit appropriate size and good power even for quite general error dynamics. In fact, simulation results suggest that they perform quite reasonably when compared to other tests of the null of cointegration.

Keywords: Brownian motion; cointegration; econometric methods; integrated process; multivariate analysis; time series models; unit root (search for similar items in EconPapers)
JEL-codes: C22 C12 (search for similar items in EconPapers)
Date: 2013-06-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this paper

More papers in Economics Series Working Papers from University of Oxford, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Anne Pouliquen ( this e-mail address is bad, please contact ).

Page updated 2020-10-24
Handle: RePEc:oxf:wpaper:657