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- W3121803730 abstract "We propose a residual-based augmented Dickey-Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I (2) and I (1) observables. The test is also consistent under the alternative of multicointegration, where first differences of the I (2) observables enter the cointegrating relationships. We find the null limiting distribution of this statistic and justify why our proposal improves over related approaches. Critical values are computed for a variety of situations. Additionally, building on this ADF test statistic, we propose a procedure to test the null of no stationary cointegration which overcomes the drawback, suffered by any residual-based method, of the lack of power with respect to some relevant alternatives. Finally, a Monte Carlo experiment is carried out and an empirical application is provided as an illustrative example." @default.
- W3121803730 created "2021-02-01" @default.
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- W3121803730 date "2014-09-01" @default.
- W3121803730 modified "2023-09-27" @default.
- W3121803730 title "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings" @default.
- W3121803730 hasPublicationYear "2014" @default.
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