DURBIN-HAUSMAN TESTS FOR COINTEGRATION

We develop Durbin Hausman tests for cointegration which use regression residuals. The asymptotic distributions of the Durbin-Hausman tests are derived under the null and the rates of divergence under the alternative are obtained. The asymptotic distributions are tabulated by simulation. We also show by simulation that the Durbin-Hausman tests are more powerful in finite samples than the other existing residual-based tests for cointegration.