Weighted symmetric tests for cointegration based on residual

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Weighted symmetric estimation of Pantula et al. (1994) and Shin and So(1997) is employed to improve powers of residual-based tests for cointegration. The augmented Dickey-Fuller tests and the semiparametric tests are considered. A Monte Carlo investigation reveals that tests based on the weighted symmetric estimator have better powers than those based on the ordinary least squares estimator. Limiting distributions of the weighted symmetric tests are derived.

Original languageEnglish
Pages (from-to)179-195
Number of pages17
JournalCommunications in Statistics - Theory and Methods
Issue number1
StatePublished - 1999


  • Cointegrating regression
  • Cointegration
  • Unit root
  • Weighted symmetric estimator


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