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Stewart, Chris (2010) Finite sample sensitivity of the critical value of an F-test for cointegration in a single equation ADL model. Centre for EMEA Banking, Finance and Economics Working Paper Series, 2010 (04). pp. 1-24.
The sensitivity of the critical values of the F-test for cointegration discussed in Kanioura and Turner (2005) to the DGP is considered. Using simulation methods we find that these critical values are sensitive to the degree of autocorrelation and lag length in the DGP in finite samples. This sensitivity disappears asymptotically. Reference to the critical values reported here would be advised in finite sample applications of this test. Further, it may be advisable to produce critical values that more precisely reflect the autocorrelation properties of the variables being used in any particular application.
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