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A Test of the Null Hypothesis of Cointegration | ||
| Al-Mustansiriyah Journal of Science | ||
| Article 1, Volume 22, Issue 3, 2011, Pages 69-84 | ||
| Author | ||
| Ghazal Abdulaziz Amir | ||
| Abstract | ||
| The cointegration tests of Phillips and Ouliaris(1) and Johanson(2) test the null hypothesis of "No Cointegration". In the sequel, we are going to extend the unit root testing procedure of Kwiatkowski et al(3) to test the null hypothesis of "Cointegration". The test is to be developed depending only on the number of explanatory variables in the cointegrating regression. We tabulate asymptotic critical values for the developed test. | ||
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