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Econometrica
Article
Data sources: UnpayWall
Research Papers in Economics
Preprint . 1987
Full-Text: http://cowles.yale.edu/sites/default/files/files/pub/d08/d0847-r.pdf
Data sources: Research Papers in Economics
Econometrica
Article . 1990 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.2307/293...
Article
Data sources: Microsoft Academic Graph
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Asymptotic Properties of Residual Based Tests for Cointegration

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Jan 1990Publisher:JSTORJournal:Econometrica, volume 58, page 165 (issn: 0012-9682, Copyright policy )
Authors: Phillips, Peter C B; Ouliaris, S;

doi: 10.2307/2938339

Asymptotic Properties of Residual Based Tests for Cointegration

Abstract

This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript "alpha") and Z(subscript "t") unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically similar, and simple representations of their limiting distributions are given and asymptotic critical values are tabulated. The ADF and Z(subscript "t") tests are asymptotically equivalent. Power properties of the test are also studied. The tests are consistent if suitably constructed, but the ADF and Z(subscript "t") tests have slower rates of divergence under cointegration than the other tests. Copyright 1990 by The Econometric Society.

Keywords

Co-integration, consistent tests, unit root tests, asymptotic theory, power

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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