A Review of Systems Cointegration Tests

  title={A Review of Systems Cointegration Tests},
  author={Kirstin Hubrich},
The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the Stock-Watson tests… CONTINUE READING