{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,7]],"date-time":"2026-02-07T22:50:05Z","timestamp":1770504605593,"version":"3.49.0"},"reference-count":24,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2004,2,11]],"date-time":"2004-02-11T00:00:00Z","timestamp":1076457600000},"content-version":"vor","delay-in-days":41,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2004,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>This paper illustrates that, under the null hypothesis of no cointegration, the correlation of <jats:italic>p<\/jats:italic>\u2010values from a single\u2010equation residual\u2010based test (i.e., <jats:italic>ADF<\/jats:italic> or <jats:styled-content>$\\widehat{Z}_{\\alpha}$<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"graphic\/tex2gif-ueqn-1.gif\" xlink:title=\"equation image\"\/><\/jats:styled-content>) with a system\u2010based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data\u2010generating processes under the null or \u2018near\u2019 it, the two types of tests can yield virtually any combination of <jats:italic>p<\/jats:italic>\u2010values regardless of sample size. As a practical matter, we also conduct tests for cointegration on 132 data sets from 34 studies appearing in this Journal and find substantial differences in <jats:italic>p<\/jats:italic>\u2010values for the same data set. Copyright \u00a9 2004 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.733","type":"journal-article","created":{"date-parts":[[2004,2,12]],"date-time":"2004-02-12T08:01:14Z","timestamp":1076572874000},"page":"89-98","source":"Crossref","is-referenced-by-count":29,"title":["Mixed signals among tests for cointegration"],"prefix":"10.1002","volume":"19","author":[{"given":"Allan W.","family":"Gregory","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Alfred A.","family":"Haug","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Nicoletta","family":"Lomuto","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2004,2,11]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9892.00091"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00007.x"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00077-3"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913236"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392091"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391545"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01696-8"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2109959"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938278"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998562"},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1992.tb00005.x"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199909\/10)14:5<563::AID-JAE530>3.0.CO;2-R"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938339"},{"key":"e_1_2_6_19_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02925336"},{"key":"e_1_2_6_20_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1992.tb00113.x"},{"key":"e_1_2_6_21_1","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1017\/S0266466600163042","article-title":"Testing for cointegration rank of a VAR process with an intercept","volume":"16","author":"Saikonnen P","year":"2000","journal-title":"Econometric Theory"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1988.10478707"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600009956"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939408800286"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600163054"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.733","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.733","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,18]],"date-time":"2023-10-18T03:35:29Z","timestamp":1697600129000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.733"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,1]]},"references-count":24,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2004,1]]}},"alternative-id":["10.1002\/jae.733"],"URL":"https:\/\/doi.org\/10.1002\/jae.733","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2004,1]]}}}