Kremers, Jeroen J.M.; Ericsson, Neil R.; Dolado, Juan J. - Federal Reserve Board (Board of Governors of the … - 1992
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 non-standard asymptotic...