Weighted symmetric tests for cointegration based on residual

Abstract

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. Copyright © 1999 by Marcel Dekker, Inc.