Dubois, Emmanuel; Lardic, Sandrine; Mignon, Valérie - In: Computational Economics 24 (2004) 3, pp. 239-255
The exact maximum likelihood (EML) procedure can be used as a residual-based test of the hypothesis of no cointegration against the alternative of fractional cointegration. Since the corresponding asymptotic properties have not yet been established, this paper provides simulated critical values,...