American Journal of Applied Mathematics and Statistics
ISSN (Print): 2328-7306 ISSN (Online): 2328-7292 Website: Editor-in-chief: Mohamed Seddeek
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American Journal of Applied Mathematics and Statistics. 2018, 6(4), 121-125
DOI: 10.12691/ajams-6-4-1
Open AccessArticle

Why Segregating Cointegration Test?

Alayande Semiu Ayinla1,

1Department of Mathematical Sciences, College of Natural Sciences, Redeemer’s University, Ede, Osun State, Nigeria

Pub. Date: July 19, 2018

Cite this paper:
Alayande Semiu Ayinla. Why Segregating Cointegration Test?. American Journal of Applied Mathematics and Statistics. 2018; 6(4):121-125. doi: 10.12691/ajams-6-4-1


This paper resolves the conflicts that exist between various cointegration tests for cases when different tests for cointegration provide different answers under the same data set. The tests considered are, Augumented Dickey Fuller (ADF) test, Hansen Lc test, Johansen’s test, and Stock and Watson (SW) test. The Monte Carlo experiments conducted show that the Stock Watson and Johansen tests can be grouped together while ADF test significantly shows different performances from that of Hansen Lc test.

unit root cointegation

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