The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
Abstract
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, and detrended cases. Combining results from our test for cointegration with results from the Phillips-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Testing the null hypothesis of stationarity against the alternative of a unit root
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90104-y · Cited by 12,633
Self-citation
Cited by
Bounds testing approaches to the analysis of level relationships
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001) · Journal of Applied Econometrics · doi:10.1002/jae.616 · Cited by 20,385
Self-citationQuantile cointegrating regression
Xiao, Z. (2009) · Journal of Econometrics · doi:10.1016/j.jeconom.2008.12.005 · Cited by 431
The Role of Energy in the Industrial Revolution and Modern Economic Growth
Stern, D. I., & Kander, A. (2012) · The Energy Journal · doi:10.5547/01956574.33.3.5 · Cited by 243
Metadata
- Authors
- Shin, Y.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 1994-03
- Volume
- 10
- Issue
- 1
- Pages
- 91-115
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2136518999
- Cited by
- 538
- References
- 2
- FWCI
- 23.01
- Type
- journal article
- Language
- en
- Open access
- closed
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