A Review of Systems Cointegration Tests
Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001
Posted: 9 Feb 2005
The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation tests, tests based on canonical correlations, the Stock-Watson tests and Bierens' nonparametric tests. Asymptotic results regarding the power of these tests and previous small sample simulation studies are discussed. Further issues and proposals in the context of systems cointegration tests are also considered briefly. New simulations are presented to compare the tests under uniform conditions. Special emphasis is given to the sensitivity of the test performance with respect to the trending properties of the DGP.
Keywords: Systems cointegration tests, LR tests, nonparametric tests, asymptotic power, small sample simulations
JEL Classification: C32
Suggested Citation: Suggested Citation