Testing for cointegration using the Johansen approach: are we using the correct critical values?
AbstractThis paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to confusion in the specification of the deterministic terms included in the vector error correction model (VECM). The result is a tendency to reject the null of no cointegration too often. Copyright © 2009 John Wiley & Sons, Ltd.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 24 (2009)
Issue (Month): 5 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Paul Turner, 2007. "Testing for cointegration using the Johansen approach: Are we using the correct critical values?," Discussion Paper Series 2007_12, Department of Economics, Loughborough University, revised May 2007.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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