Dhrymes, Phoebus J.; Dimitrios, Thomakos D. - 2000
This paper reports on the results of a Monte Carlo study. The latter investigates the performance of various versions of the Conformity test CCT$ for the existence and rank of cointegration, as given in Dhrymes (1996b), the likelihood ratio test LRT as given in Johansen (J) (1988), (1991), and...