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TESTS FOR NONLINEAR COINTEGRATION

Econometric Theory, 2009
This paper develops tests for the null hypothesis of cointegration in the nonlinear regression model with I(1) variables. The test statistics we use in this paper are Kwiatkowski, Phillips, Schmidt, and Shin’s (1992; KPSS hereafter) tests for the null of stationarity, though using other kinds of tests is also possible.
Choi, In, Saikkonen, Pentti
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Polynomial cointegration estimation and test

Journal of Econometrics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gregoir, Stéphane, Laroque, Guy
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Cointegration tests with conditional heteroskedasticity

Journal of Econometrics, 1996
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Lee, Tae-Hwy, Tse, Yiuman
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Testing for cointegration

Economics Letters, 1993
Abstract Monte Carlo experiments indicate that temporal disaggregation often yields significant power increases in augmented Dickey-Fuller cointegration tests. This result is contrary to the properties of ADF unit root tests and is robust to several lag specifications and test misspecifications.
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