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The power of residual base tests for cointegration when residuals are fractionally integrated

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URI: http://hdl.handle.net/10016/6301
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ws992406.PDF (603.03 KB)
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1999-03
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This paper is concerned with testing the null hypothesis of no cointegration among 1(1) variables when the cointegration residuals are I(d), 0 < d < 1. We consider the power of various well-known residual-based tests under this set-up. Empirical evidence is also provided.
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Residual-Based Cointegration Tests, fractionally integrated processes
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DES - Working Papers. Statistics and Econometrics. WS