A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration

@article{Shin1994ART,
  title={A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration},
  author={Yongcheol Shin},
  journal={Econometric Theory},
  year={1994},
  volume={10},
  pages={91 - 115}
}
  • Y. Shin
  • Published 1 March 1994
  • Economics, Mathematics
  • Econometric Theory
This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned… 
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