On the Meaning of Certain Cointegration Test
In this paper we examine (some of) the cointegration test suggested in Engle and Granger (1987), henceforth EG, those suggested by Johansen (1988), (1991), henceforth J, and those suggested in Dhrymes (1994b), henceforth D. We also explore the relations among the models underlying the various procedures. We find that the test suggested by Johansen cannot possibly test either for the presence of cointegration vectors, if cointegration is known to hold and its rank is known as well.
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