A note on Phillips-Perron-type statistics for cointegration testing

We introduce two trace statistics for the null hypothesis of no cointegration that nonparametrically correct for serial correlation in the spirit of Phillips-Perron. The limiting distributions are free of nuisance parameters. One of them coincides with the asymptotic distribution of Johansen's trace statistic. Hence, this statistic is applicable without further tabulation of critical values.

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Year of publication:	2006-07-07
Authors:	Hassler, Uwe
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2006, 17, p. 1-7
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010836183