Hello everyone,
I'm looking for papers using cointegration tests in applied macroeconomics.I'm looking for examples as diverse as possible to illustrate the broad applicability of these tests.
Do you have any reference ?
Thanks a lot
Aurélien
Please refer to the article:
"TESTING THE ORDER OF INTEGRATION WITH LOW POWER TESTS. AN APPLICATION TO ARGENTINE MACRO-VARIABLES"
at
http://ageconsearch.umn.edu/bitstream/43989/2/carrera.pdf
Johansen and Juselius (1990) recommend the trace test and the maximum Eigen-value t-statistics in making the inference of the number of co-integrating vectors.This is the most recommended test of cointegration. However, if your series results in I(0) and I(1), the autoregressive distributed lag (ARDL) model helps with single cointegration and is introduced originally by Pesaran and Shin (1999) and further extended by Pesaran et al. (2001).
yeah. I could do it with stata. if u want it work out, may be u can contact me
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