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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/2821

Title: Testing for cointegration using the Johansen approach: are we using the correct critical values?
Authors: Turner, Paul M.
Issue Date: 2007
Abstract: 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 cases considered by Osterwald-Lenum (1992) and Pesaran, Shin and Smith (2000). The result is a tendency to reject the null of no cointegration too often. However, a simple adjustment of the critical values is enough to deal with the problem.
Description: This is a working paper - it is also available at: http://ideas.repec.org/p/lbo/lbowps/2007_12.html.
URI: https://dspace.lboro.ac.uk/2134/2821
ISSN: 1750-4171
Appears in Collections:Working Papers (Economics)

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