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

Paul Turner ()

Journal of Applied Econometrics, 2009, vol. 24, issue 5, 825-831

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 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.

Date: 2009
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Working Paper: Testing for cointegration using the Johansen approach: Are we using the correct critical values? (2007)
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DOI: 10.1002/jae.1073

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