Conflicts Among Tests for Cointegration

This note illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e. ADF, Zt, or Zx) with a system-based test (trace or maximum eigenvalue) is very low. With data generating processes under the null or 'near' it, the two types of tests can yield virtually any combination of p-values regardless of sample size.

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Year of publication:	1998-08
Authors:	Gregory, Allan W. ; Haug, Alfred
Institutions:	Economics Department, Queen's University
Subject:	Single-Equation Residual-Based Test \| System-Based Test \| P-Value

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 973
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

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