Testing for Cointegration.

Testing for cointegration is now widespread in economics. Although the principle is sound, the practice has not always been so. In this note, an attempt is made to reveal flaws in some applied testing procedures. Incomplete nonstationary-null procedures make cointegration seem more likely than it actually is, while incomplete stationary-null procedures reject it too often. Complete definitions of integration and cointegration are given, some of them extending earlier definitions of these concepts.