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Extended critical values for a simple test of cointegration

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  • Peter Sephton

Abstract

Leybourne and McCabe have extended the Kwiatkowski et al. stationarity test to examine the null hypothesis of cointegration. The purpose of this note is to provide an extended set of critical values for use in applied research.

Suggested Citation

  • Peter Sephton, 1996. "Extended critical values for a simple test of cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 155-157.
    • Handle: RePEc:taf:apeclt:v:3:y:1996:i:3:p:155-157
    DOI: 10.1080/135048596356564
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    Cited by:

    1. Phengpis, Chanwit, 2006. "Market efficiency and cointegration of spot exchange rates during periods of economic turmoil: Another look at European and Asian currency crises," Journal of Economics and Business, Elsevier, vol. 58(4), pages 323-342.
    2. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2008. "Testing the forward rate unbiasedness hypothesis during the 1920s," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 358-373, October.
    3. Judith A. Giles & Sadaf Mirza, 1999. "Some Pretesting Issues on Testing for Granger Noncausality," Econometrics Working Papers 9914, Department of Economics, University of Victoria.

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