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.
|Number of pages||5|
|Publication status||Published - 2008 Mar|
Bibliographical noteFunding Information:
Tae-Hwan Kim is grateful to the College of Business and Economics at Yonsei University for financial support.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics