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Journal of Applied Econometrics
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Journal of Applied Econometrics
Article . 2009 . Peer-reviewed
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https://dx.doi.org/10.1002/jae...
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Testing for cointegration using the Johansen approach: are we using the correct critical values?

descriptionPublicationkeyboard_double_arrow_right Article 03 Jul 2009 English Publisher:WileyJournal:Journal of Applied Econometrics, volume 24, pages 825-831 (issn: 0883-7252, eissn: 1099-1255, Copyright policy )
Authors: Paul Turner;

doi: 10.1002/jae.1073

Testing for cointegration using the Johansen approach: are we using the correct critical values?

Abstract

AbstractThis 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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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
10
Average
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Average
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