Test for cointegration based on two-stage least squares

A residual-based test for cointegration is proposed. The method of two-stage least squares is used to estimate the cointegration model parameters. The residuals are then tested for the existence of a unit root using the augmented Dickey-Fuller test.

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Year of publication:	2005
Authors:	Al-Ballaa, Norah
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 32.2005, 7, p. 707-713
Publisher:	Taylor & Francis Journals
Subject:	Single-equation approach \| residual-based test \| two-stage least squares \| Monte Carlo

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462459