Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/2077

Title: Critical values for an F-test for cointegration in a multivariate model
Authors: Kanioura, Athina
Turner, Paul M.
Issue Date: 2005
Publisher: © Taylor and Francis
Citation: KANIOURA, A. and TURNER, P., 2005. Critical values for an F-test for cointegration in a multivariate model. Applied Economics, 37, pp.265-270.
Abstract: Critical values for a test for cointegration are generated based on the joint significance of the levels terms in an error-correction equation. It is shown that the appropriate critical values are higher than those derived from the standard F-distribution. The power properties of this test are compared with those of the Engle–Granger (Econometrica, 55, 251–76, 1987) test and Kremers et al.’s (Oxford Bulletin of Economics and Statistics, 54(3), 325–48, 1992) t-test based on the t-statistic from an error-correction equation. The F-test has higher power than the Engle–Granger test but lower power than the t-form of the error-correction test. However, the F-form of the test has the advantage that its distribution is independent of the parameters of the problem being considered. Finally, a test is considered for cointegration between UK and US interest rates. It is shown that the F-test rejects the null of no cointegration between these variables although the Engle–Granger test fails to do so.
Description: This is Restricted Access. The article was published in the journal, Applied Economics [© Taylor and Francis].
URI: https://dspace.lboro.ac.uk/2134/2077
ISSN: 0003–6846
Appears in Collections:Closed Access (Economics)

Files associated with this item:

File Description SizeFormat
Kanioura&Turner_Applied+Economics_2005.pdfArticle121.41 kBAdobe PDFView/Open


SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.