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Durbin-Hausman tests for cointegration

✍ Scribed by In Choi

Book ID: 104174820
Publisher: Elsevier Science
Year: 1994
Tongue: English
Weight: 659 KB
Volume: 18
Category: Article
ISSN: 0165-1889
DOI: 10.1016/0165-1889(94)90018-3

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## Abstract This paper illustrates that, under the null hypothesis of no cointegration, the correlation of __p__‐values from a single‐equation residual‐based test (i.e., __ADF__ or $\widehat{Z}\_{\alpha}$) with a system‐based test (trace or maximum eigenvalue) is very low even as the sample size ge