Petr Mariel, Dpto. de Econometria y Estadistica, Fac. de Ciencias Economicas (UPV/EHU), Lehendakari Agirre 83, E48015 Bilbao, Spain, e-mail (internet): etpmaxxp@bs.ehu.es
Abstract: In this paper some of the cointegration tests applied to a single equation are compared. Many of the existent cointegration tests are simply extensions of the unit root tests applied to the residuals of the cointegrating regression and the habitual $H_0$ is no cointegration. However, some non residual-based tests and some tests of the opposite null hypothesis have recently appeared in literature. Monte Carlo simulations have been used for the power comparison of the nine selected tests ($ADF$, $\hat{Z}_{\alpha}$, $\hat{Z}_t$, $DHS$, $J1$, $H1$, $H2$, $C$, $LBI$) using several types of data generating processes.
Keywords: Integrated Processes, Monte Carlo Simulation
Classification (MSC 1991): 62J05, 62E25
