Asymptotic Properties of Residual Based Tests for Cointegration
推导了基于残差的协整检验的渐近理论，包括ADF检验和Z检验，并引入两种新检验，给出了极限分布和临界值，比较了检验的功效和收敛速度。
This paper develops an asymptotic theory for residual based tests for cointegration. Attention is given to the augmented Dickey-Fuller (ADF) test and the Z(subscript alpha) and Z(subscript t) unit root tests. Two new tests are also introduced. The tests are shown to be asymptotically similar, and simple representations of their limiting distributions are given and asymptotic critical values are tabulated. The ADF and Z(subscript t) tests are asymptotically equivalent. Power properties of the test are also studied. The tests are consistent if suitably constructed, but the ADF and Z(subscript t) tests have slower rates of divergence under cointegration than the other tests. Copyright 1990 by The Econometric Society.