Canonical Cointegrating Regression and Testing for Cointegration in the Presence ofI(1) andI(2) Variables
提出了在同时存在一阶和二阶单整变量时检验协整关系的方法，基于典型协整回归和超前滞后回归的残差，并给出了渐近理论和模拟临界值表。
This paper introduces tests for the null of cointegration in the presence of I (1) and I (2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I (1) and I (2) variables is also introduced. The distributions of the cointegration tests are nonstandard, and hence their percentiles are tabulated by using simulation. Monte Carlo simulation results to study the finite sample performance of the CCR estimates and the cointegration tests are also reported.