A Review of Systems Cointegration Tests

Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001

Posted: 9 Feb 2005

See all articles by Kirstin Hubrich

Kirstin Hubrich

Board of Governors of the Federal Reserve System

Helmut Luetkepohl

European University Institute; CESifo (Center for Economic Studies and Ifo Institute)

Pentti Saikkonen

University of Helsinki - Department of Statistics

Abstract

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

Hubrich, Kirstin and Luetkepohl, Helmut and Saikkonen, Pentti, A Review of Systems Cointegration Tests. Econometric Reviews, Vol. 20, No. 3, pp. 247-318, 2001. Available at SSRN: https://ssrn.com/abstract=644303

Kirstin Hubrich (Contact Author)

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Helmut Luetkepohl

European University Institute ( email )

Villa San Paulo
Via della Piazzola 43
I-50133 Firenze
Italy
+39 055 4685 971 (Phone)
+39 055 4685 902 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

Pentti Saikkonen

University of Helsinki - Department of Statistics ( email )

Finland
+09 191 24867 (Phone)

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