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An Alternative Approach to the Asymptotic Theory of Spurious Regression, Cointegration, and Near Cointegration

Published online by Cambridge University Press:  11 February 2009

Katsuto Tanaka
Katsuto Tanaka
Affiliation:
Hitotsubashi University
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Abstract

An alternative approach is taken to the asymptotic theory of cointegration. The present approach gives a different expression for the limiting distributions of statistics associated with cointegration, which enables us to compute accurately the distribution functions. Alternative interpretations of cointegration are given and a notion of near cointegration is introduced. We then devise tests which take cointegration as the null and discuss the limiting local power under the alternative of near cointegration.

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 1 , January 1993 , pp. 36 - 61
Copyright
Copyright © Cambridge University Press 1993

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