Choi, In; Park, Joon Y.; Yu, Byungchul - In: Econometric Theory 13 (1997) 06, pp. 850-876
This paper introduces tests for the null of cointegration in the presence of <italic>I</italic>(1) and <italic>I</italic>(2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory...