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Paul Turner

testing for cointegration using the johansen approach: are we using the correct critical values? (replication data)

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.

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Turner, Paul (2009): Testing for cointegration using the Johansen approach: are we using the correct critical values? (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.1306547688

Related Publication

Turner, P. (2009), Testing For Cointegration Using The Johansen Approach: Are We Using The Correct Critical Values?, Journal of Applied Econometrics, 24(5), 825-831. https://doi.org/10.1002/jae.1073