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Determination of Cointegration Rank in the Presence of a Linear Trend

Listed author(s):
  • Johansen, S.

It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of the proposed likelihood ratio test statistic depends on which parameter is considered under the null. It is shown how a recent procedure for unit root testing suggested by S. G. Pantula (1989) solves the problem. The procedure is illustrated by some published econometric examples. Copyright 1992 by Blackwell Publishing Ltd

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Paper provided by Helsinki - Department of Economics in its series Papers with number 76a.

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Length: 15 pages
Date of creation: 1991
Handle: RePEc:fth:helsin:76a
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University of Helsinki; Department of Economics, SF 0010 Helsinki Finland.

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