Mixed Signals among Tests for Cointegration

@inproceedings{Gregory2002MixedSA,
  title={Mixed Signals among Tests for Cointegration},
  author={Allan W. Gregory and Alfred Haug and Nicoletta A Lomuto},
  year={2002}
}
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p–values from a single–equation residual–based test (i.e. ADF or Ẑα) with a system– based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data generating processes under the null or ‘near’ it, the two types of tests can yield virtually any combination of p–values regardless of sample size. As a practical matter, we also conduct tests for cointegration on 132… CONTINUE READING

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