A cautionary note on cointegration testing

Sumner, Michael (2004) A cautionary note on cointegration testing. Applied Economics Letters, 11 (5). pp. 275-278. ISSN 1350-4851

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Inferences from the Johansen procedure regarding cointegration, and the magnitude, significance and even the sign of the estimated parameters of a familiar macroeconomic relation, are shown to be extremely sensitive to the treatment of its deterministic components and to the assumed lag structure. An unrestricted error-correction model yields unambiguous inferences and performs better in a range of tests.

Item Type: Article
Schools and Departments: University of Sussex Business School > Economics
Depositing User: Michael Sumner
Date Deposited: 06 Feb 2012 20:12
Last Modified: 03 Jul 2012 12:55
URI: http://sro.sussex.ac.uk/id/eprint/24656
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