Geodesic
A comparison of cointegration tests
Applications of Mathematics, Tome 41 (1996) no. 6, pp. 411-431

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In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_{0}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha }$, $\hat{Z}_{t}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.
In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_{0}$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha }$, $\hat{Z}_{t}$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.
DOI : 10.21136/AM.1996.134335
Classification : 62E25, 62J05, 62M10, 65C05
Keywords: integrated processes; Monte Carlo simulation 
Mariel, Petr. A comparison of cointegration tests. Applications of Mathematics, Tome 41 (1996) no. 6, pp. 411-431. doi: 10.21136/AM.1996.134335
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