A GAUSSIAN PROCEDURE TO TEST FOR COINTEGRATION By ANTONIO AZNAR and MARÍA-ISABEL AYUDA
نویسندگان
چکیده
The paper is dedicated to deriving a gaussian procedure to test for cointegration. We consider four alternative specifications, depending on the form adopted by the deterministic terms. We then define the test statistic and derive its asymptotic behaviour under both the null and the alternative hypotheses. We show that, under the null hypothesis, the test procedure follows a Standard-Normal distribution. The Monte Carlo results confirm that the performance of the proposed test procedures is quite satisfactory. Classification Code: C12, C15, C22
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