Error-correction Mechanism Tests for Cointegration in a Single-equation Framework

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dc.contributor.author Dolado, Juan José
dc.contributor.author Banerjee, Anindya
dc.contributor.author Mestre, Ricardo
dc.date.accessioned 2009-02-02T13:40:42Z
dc.date.available 2009-02-02T13:40:42Z
dc.date.issued 1998-05
dc.identifier.bibliographicCitation Journal of Time Series Analysis, 1998, 19, 3, p. 267-285
dc.identifier.issn 1467-9892
dc.identifier.uri http://hdl.handle.net/10016/3275
dc.description.abstract 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.
dc.format.mimetype text/plain
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.rights © Blackwell
dc.subject.other Cointegration tests
dc.subject.other error-correction models
dc.subject.other power properties
dc.subject.other common-factor restrictions
dc.title Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www3.interscience.wiley.com/cgi-bin/fulltext/119116862/PDFSTART
dc.relation.publisherversion http://dx.doi.org/10.1111/1467-9892.00091
dc.subject.eciencia Economía
dc.identifier.doi 10.1111/1467-9892.00091
dc.rights.accessRights openAccess
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