Allan W. Gregory
Alfred A. Haug
Nicoletta Lomuto

mixed signals among tests for cointegration (replication data)

This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or ) with a system-based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data-generating processes under the null or near it, the two types of tests can yield virtually any combination of p-values regardless of sample size. As a practical matter, we also conduct tests for cointegration on 132 data sets from 34 studies appearing in this Journal and find substantial differences in p-values for the same data set.

Data and Resources

Suggested Citation

Gregory, Allan W.; Haug, Alfred A.; Lomuto, Nicoletta (2004): Mixed signals among tests for cointegration (replication data). Version: 1. Journal of Applied Econometrics. Dataset.