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 a confusion in the specification of the deterministic terms included in the VECM between the...
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| Format: | Default Preprint |
| Published: |
2007
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| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/2821 |
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