A CUSUM test for cointegration using regression residuals

被引：71

作者：

Xiao, ZJ

Phillips, PCB

机构：

[1] Yale Univ, Cowles Fdn, Dept Econ, New Haven, CT 06520 USA

[2] Univ Illinois, Dept Econ, Champaign, IL 61820 USA

[3] Univ Auckland, Auckland 1, New Zealand

[4] Univ York, York YO1 5DD, N Yorkshire, England

来源：

JOURNAL OF ECONOMETRICS | 2002年 / 108卷 / 01期

基金：

美国国家科学基金会;

关键词：

bandwidth; CUSUM test; fully modified regression; null of cointegration; residual based test; semiparametric method;

D O I：

10.1016/S0304-4076(01)00103-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show that the conventional CUSUM test far structural change can be applied to cointegrating regression residuals leading to a consistent residual-based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modified residuals to correct for endogeneity and serial correlation and to scale out nuisance parameters. The limit distribution of the test is derived under both the null and the alternative hypothesis. The tests are easy to use and are found to perform quite well in a Monte Carlo experiment. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：43 / 61

页数：19

共 30 条

[1] HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATION [J].