TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
研究了在协变量有单位根时，检验无协整原假设的统计方法，发现常用全系统检验在某些情况下的检验功效远低于理论最优边界。
A number of tests have been suggested for the test of the null of no cointegration. Under this null, correlations are spurious in the sense of Granger and Newbold (1974) and Phillips (1986). We examine a set of models local to the null of no cointegration and derive tests with optimality properties in order to examine the efficiency of available tests. We find that, for a sufficiently tight weighting over potential cointegrating vectors, commonly employed full system tests have power that can, in some situations, be quite far from the power bounds for the models examined.