Skip to main content

Critical values for an F-test for cointegration in a multivariate model

Buy Article:

$53.17 plus tax (Refund Policy)


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.

Document Type: Research Article


Affiliations: Department of Economics University of Sheffield 9 Mappin Street Sheffield S1 4DT UK

Publication date: February 1, 2005

More about this publication?

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more