文章基本信息

标题：A CUSUM Test for Cointegration Using Regression Residuals
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作者：Zhijie Xiao ; Peter C. B. Phillips
期刊名称：COWLES Foundation Discussion Paper / Cowles Foundation for Research in Economics
出版年度：2001
卷号：2001
期号：1
出版社：Yale University
摘要：We show that the conventional CUSUM test for structural change can be applied to cointegrating regression residuals leading to a consistent residual based test for the null hypothesis of cointegration. The proposed tests are semiparametric and utilize fully modified residuals to correct for endogeneity and serial correlation and to scale out nuisance parameters. The limit distribution of the test is derived under both the null and the alternative hypothesis. The tests are easy to use and are found to perform quite well in a Monte Carlo experiment.
关键词：Bandwidth; CUSUM test; Fully modified regression; Null of cointegration; Residual based test; Semiparametric method