Abstract
In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the development of our test. The applicability of our test is extended to series generated by low-order vector autoregressions. Again, we find evidence that this general version of our test is more powerful than the Johansen test. The paper concludes with an empirical example in which the new test finds strong evidence of cointegration, but the Johansen test does not.
| Original language | English |
|---|---|
| Pages (from-to) | 173-191 |
| Number of pages | 19 |
| Journal | Journal of Time Series Analysis |
| Volume | 23 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2002 Mar |
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All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics
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A direct test for cointegration between a pair of time series. / Leybourne, Stephen J.; Newbold, Paul; Vougas, Dimitrios; Kim, Tae Hwan.
In: Journal of Time Series Analysis, Vol. 23, No. 2, 03.2002, p. 173-191.Research output: Contribution to journal › Article
TY - JOUR
T1 - A direct test for cointegration between a pair of time series
AU - Leybourne, Stephen J.
AU - Newbold, Paul
AU - Vougas, Dimitrios
AU - Kim, Tae Hwan
PY - 2002/3
Y1 - 2002/3
N2 - In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the development of our test. The applicability of our test is extended to series generated by low-order vector autoregressions. Again, we find evidence that this general version of our test is more powerful than the Johansen test. The paper concludes with an empirical example in which the new test finds strong evidence of cointegration, but the Johansen test does not.
AB - In this paper we introduce a new test of the null hypothesis of no cointegration between a pair of time series. For a very simple generating model, our test compares favourably with the Engle-Granger/Dickey-Fuller test and the Johansen trace test. Indeed, shortcomings of the former motivated the development of our test. The applicability of our test is extended to series generated by low-order vector autoregressions. Again, we find evidence that this general version of our test is more powerful than the Johansen test. The paper concludes with an empirical example in which the new test finds strong evidence of cointegration, but the Johansen test does not.
UR - http://www.scopus.com/inward/record.url?scp=0040076588&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0040076588&partnerID=8YFLogxK
U2 - 10.1111/1467-9892.00261
DO - 10.1111/1467-9892.00261
M3 - Article
AN - SCOPUS:0040076588
VL - 23
SP - 173
EP - 191
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
SN - 0143-9782
IS - 2
ER -