Kremers, Jeroen J M; Ericsson, Neil R; Dolado, Juan J - In: Oxford Bulletin of Economics and Statistics 54 (1992) 3, pp. 325-48
A cointegration test statistic based upon estimation of an error-correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a nonstandard asymptotic...