Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends

• Autores: Uwe Hassler
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 62, Nº. 5, 2000, págs. 621-632
• Idioma: inglés
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• Resumen

  • Banerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267−283)introduce an error‐correction test for the null hypothesis of no cointegration. The present paper supplements their work. They provide critical values forregressions with and without detrending. Here it is shown that the latter arenot appropriate if the series display linear trends. This does not mean thatdetrending is required. Correct percentiles are suggested for the case thatseries follow linear time trends but tests are based on regressions withoutdetrending. They are readily available from the literature.