A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration
提出一种基于残差的检验方法，用于检验变量间是否存在协整关系，并证明该检验统计量的极限分布无冗余参数，且检验具有一致性。结合Phillips-Ouliaris检验，发现战后美国实际消费与实际可支配收入之间存在协整关系。
This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for standard, demeaned, and detrended cases. Combining results from our test for cointegration with results from the Phillips-Ouliaris test for no cointegration, we find that there is evidence of cointegration between real consumption and real disposable income over the postwar period.