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A Simple Test for Cointegration

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  • Leybourne, S J
  • McCabe, B P M

Abstract

This note proposes a simple test for cointegration in which, unlike conventional test procedures, the presence of cointegration forms the null hypothesis to be tested. The test statistic is constructed under the assumption of normality and then it's asymptotic distribution is derived under considerably more general conditions. Selected critical values of this distribution, computed from Monte Carlo simulations, are presented. Copyright 1994 by Blackwell Publishing Ltd

Suggested Citation

  • Leybourne, S J & McCabe, B P M, 1994. "A Simple Test for Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 97-103, February.
    • Handle: RePEc:bla:obuest:v:56:y:1994:i:1:p:97-103
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    Cited by:

    1. Snell, Andy, 1998. "Testing for r versus r-1 cointegrating vectors," Journal of Econometrics, Elsevier, vol. 88(1), pages 151-191, November.
    2. David E. A. Giles & Betty J. Johnson, 1999. "Taxes, Risk-Aversion, and the Size of the Underground Economy: A Nonparametric Analysis With New Zealand Data," Econometrics Working Papers 9910, Department of Economics, University of Victoria.
    3. Hassler, Uwe, 2002. "The Effect of Linear Time Trends on Cointegration Testing in Single Equations," Darmstadt Discussion Papers in Economics 111, Darmstadt University of Technology, Department of Law and Economics.
    4. Christoph Hanck & Till Massing, 2021. "Testing for Nonlinear Cointegration under Heteroskedasticity," Papers 2102.08809, arXiv.org, revised Oct 2024.
    5. Erik Hjalmarsson & Pär Österholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.).
    6. David E.A. Giles & Gugsa T. Werkneh & Betty J. Johnson, 2001. "Asymmetric Responses of the Underground Economy to Tax Changes: Evidence From New Zealand Data," The Economic Record, The Economic Society of Australia, vol. 77(237), pages 148-159, June.
    7. Villanueva, O. Miguel, 2007. "Spot-forward cointegration, structural breaks and FX market unbiasedness," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(1), pages 58-78, February.
    8. David Harvey & Stephen Leybourne & Paul Newbold, 2003. "How great are the great ratios?," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 163-177.
    9. Josep Lluís Carrion‐i‐Silvestre & Andreu Sansó, 2006. "Testing the Null of Cointegration with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 623-646, October.
    10. Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.
    11. D. Schimmelpfennig & C. Thirtle, 1994. "Cointegration, And Causality: Exploring The Relationship Between Agricultural And Productivity," Journal of Agricultural Economics, Wiley Blackwell, vol. 45(2), pages 220-231, May.
    12. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.
    13. G. Everaert, 2007. "Estimating Long-Run Relationships between Observed Integrated Variables by Unobserved Component Methods," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/452, Ghent University, Faculty of Economics and Business Administration.
    14. Javier Fernandez-Macho, 2013. "A Test for the Null of Multiple Cointegrating Vectors," Economics Series Working Papers 657, University of Oxford, Department of Economics.

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