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The article discusses the use of some Monte Carlo experiments to investigate the effects of dynamic specification on the size and power of three cointegration tests. The first test, proposed by Engle and Granger (1987), is the residual augmented Dickey-Fuller unit root test. The second is a Wald test for the significance of the error correction mechanism in an autoregressive-distributed lag model, suggested by Boswijk (1989) and further developed in Boswijk (1991). The third test is a likelihood ratio test in a vector autoregressive model, proposed by Johansen (1988) and extended in Johansen and Juselius (1990).
Boswijk et al. (Sat,) studied this question.