Testing for cointegration using the Johansen approach: are we using the correct critical values?
通过蒙特卡洛模拟发现，许多计量软件包中Johansen协整检验的临界值因向量误差修正模型中确定性项设定混乱而不恰当，导致过度拒绝无协整的原假设。
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.