A more powerful modification of Johansen's cointegration tests

Stephen Leybourne (), Tae-Hwan Kim () and Paul Newbold

Applied Economics, 2008, vol. 40, issue 6, 725-729

Abstract: 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.

Date: 2008
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DOI: 10.1080/00036840600749714

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