Biscarri, Javier Gómez; Hualde, Javier - Department of Economics and Business, Universitat … - 2014
We propose a residual-based augmented Dickey-Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I (2) and I (1) observables. The test is also consistent under the alternative of multicointegration, where first differences of...