Asymptotic Properties of Residual Based Tests for Cointegration
Dados Bibliográficos
| ID | 23334841 |
|---|---|
| Autores | P C B Phillips, Sam Ouliaris |
| Ano | 1990 |
| Volume | 58 |
| Fascículo | 1 |
| Páginas | 165 |
| Data de publicação | 1990-01-01 |
| Peer Reviewed | Sim |
| Open Access | Não |
| Tipo | ARTICLE |
| Periódico | Econometrica (JOURNAL) |
| Identificadores do periódico | ISSN: 0012-9682 • E-ISSN: 1468-0262 |
| Editora | JSTOR (PUBLISHER) |
| DOI | 10.2307/2938339 |
| OpenAlex | W2110002822 |
| Idioma | EN |
| Citações recebidas | 95 |
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript alpha) and Z(subscript t) unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically similar, and simple representations of their limiting distributions are given and asymptotic critical values are tabulated. The ADF and Z(subscript t) tests are asymptotically equivalent. Power properties of the test are also studied. The tests are consistent if suitably constructed, but the ADF and Z(subscript t) tests have slower rates of divergence under cointegration than the other tests. Copyright 1990 by The Econometric Society.
Algorithm · Cointegration · Econometrics · Economics · Residual · Credit Risk and Financial Regulations · Mathematics · Monetary Policy and Economic Impact
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| Obras citantes distintas | 95 |
|---|---|
| Citações por ano | 2,64 |
| Intervalo de citações | 1990 - 2026 (37) |
| Velocidade de citação | current |
| Altamente citado | Não |
| Tipos de citação | Neutras: 79 |