Gonzalo, JesúsLee, Tae-HwyUniversidad Carlos III de Madrid. Departamento de Estadística2009-06-302009-06-301996-01https://hdl.handle.net/10016/4542This paper shows, analytically and numerically, the effects of a misspecification in the degree of integration on testing for cointegration. Johansen LR tests tend to find too much spurious cointegration while the Engle-Granger test shows a more robust performance than the LR tests.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaCointegrationFractional unit rootsSize of testJohansen LR testEG testworking paperEstadísticaopen access