A more powerful modification of Johansen's cointegration tests

We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.

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Year of publication:	2008
Authors:	Leybourne, Steve ; Kim, Tae-Hwan ; Newbold, Paul
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 40.2008, 6, p. 725-729
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005282464