A direct test for cointegration between a pair of time series

Stephen J. Leybourne, Paul Newbold, Dimitrios Vougas, Tae Hwan Kim

Research output: Contribution to journalArticle

1 Citation (Scopus)

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 languageEnglish
Pages (from-to)173-191
Number of pages19
JournalJournal of Time Series Analysis
Volume23
Issue number2
DOIs
Publication statusPublished - 2002 Mar

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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