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THE POWER OF COINTEGRATION TESTS
Open accessAbstract
A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test generally is more powerful than the Dickey-Fuller test. These differences arise because the latter imposes a possibly invalid common factor restriction. The issue is general and has ramifications for system-based cointegration tests. Monte Carlo analysis and an empirical study of U.K. money demand demonstrate the differences in power.
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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
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
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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
Does financial development cause economic growth? Time-series evidence from 16 countries
Demetriades, P. O., & Hussein, K. A. (1996) · Journal of Development Economics · doi:10.1016/s0304-3878(96)00421-x · Cited by 1,539
Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. F. (1993) · Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data · doi:10.1093/0198288107.003.0004 · Cited by 872
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Metadata
- Authors
- Kremers, J. J. M., Ericsson, N. R., & Dolado, J. J.
- Venue
- Oxford Bulletin of Economics and Statistics
- Publisher
- Wiley
- Published
- 1992-08
- Volume
- 54
- Issue
- 3
- Pages
- 325-348
- ISSN
- 0305-9049 (ISSN-L)
- 1468-0084
- OpenAlex
- W2126322608
- Cited by
- 1,302
- References
- 2
- FWCI
- 109.22
- Type
- journal article
- Language
- en
- Open access
- green
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- Kremers, J. J. M., Ericsson, N. R., & Dolado, J. J. (1992). THE POWER OF COINTEGRATION TESTS. Oxford Bulletin of Economics and Statistics. https://doi.org/10.1111/j.1468-0084.1992.tb00005.x
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