The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework
Open accessAbstract
A new test is proposed for cointegration in a single‐equation framework where the regressors are weakly exogenous for the parameters of interest. The test is denoted as an error‐correction mechanism (ECM) test and is based upon the ordinary least squares coefficient of the lagged dependent variable in an autoregressive distributed lag model augmented with leads of the regressors. The limit distributions of the standardized coeffi cient and t‐ratio versions of the ECM tests are obtained and critical values are provided. These limit distributions do not depend upon nuisance parameters but they depend on the number of regressors. Finally, we compare their power properties with those of other cointegration tests available in the literature and find the circumstances under which the ECM tests have a better performance.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
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
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
Testing for Error Correction in Panel Data*
Westerlund, J. (2007) · Oxford Bulletin of Economics and Statistics · doi:10.1111/j.1468-0084.2007.00477.x · Cited by 6,113
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014) · Festschrift in Honor of Peter Schmidt · doi:10.1007/978-1-4899-8008-3_9 · Cited by 3,835
Boutabba, M. A. (2014) · Economic Modelling · doi:10.1016/j.econmod.2014.03.005 · Cited by 835
Error-Correction–Based Cointegration Tests for Panel Data
Persyn, D., & Westerlund, J. (2008) · The Stata Journal: Promoting communications on statistics and Stata · doi:10.1177/1536867x0800800205 · Cited by 770
Metadata
- Authors
- Banerjee, A., Dolado, J., & Mestre, R.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1998-05
- Volume
- 19
- Issue
- 3
- Pages
- 267-283
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W1994045802
- Cited by
- 2,305
- References
- 1
- FWCI
- 24.84
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. https://app.cochat.ai/papers/10.1111/1467-9892.00091
- The paper
- Banerjee, A., Dolado, J., & Mestre, R. (1998). Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework. Journal of Time Series Analysis. https://doi.org/10.1111/1467-9892.00091
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
