Testing for cointegration using the Johansen approach: Are we using the correct critical values?
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- Paul Turner, 2009. "Testing for cointegration using the Johansen approach: are we using the correct critical values?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 825-831.
References listed on IDEAS
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More about this item
Keywords
Cointegration; Johansen Test.;JEL classification:
- 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; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-06-11 (Econometrics)
- NEP-ETS-2007-06-11 (Econometric Time Series)
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