Neely, Christopher J.; Rapach, David E. - Federal Reserve Bank of St. Louis - 2008
combination of some set of (1)I processes (say,
t
y and
t
x ) are stationary or cointegrated. The
popular, residual … stable long-run relationship between
t
y and
t
x (if it
exists), is given by
1
(1, )θ ′− . One then runs an ADF … a
nonstandard asymptotic distribution, which requires simulated critical values. When
t
y and
t
x
are cointegrated …