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.

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Year of publication:	2009
Authors:	Turner, Paul
Published in:	Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 24.2009, 5, p. 825-831
Publisher:	John Wiley & Sons, Ltd.

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Extent:	text/html
Type of publication:	Article
Research data:	https://doi.org/10.15456/jae.2022319.1306547688
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005015515