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The definition of null hypotheses for all three tests.
| Cointegration test | Null hypothesis | Alternative hypothesis |
|---|---|---|
| F-bound test | γ1 = γ2 = γ3 = γ4 = 0 | Any, u1, u2, u3, u4 ≠ 0 |
| A t-test on lagged dependent variable | γ1 = 0 | γ1 ≠ 0 |
| F-test on the lagged independent variable | γ2 = γ3 = γ4 = 0 | Any, break u2, u3, u4 ≠ 0 |
