Testing for cointegration using the Johansen approach: are we using the correct critical values?
This 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.
Volume (Year): 24 (2009)
Issue (Month): 5 ()
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References listed on IDEAS
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