A more powerful modification of Johansen's cointegration tests

Steve Leybourne, Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticle

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.

Original languageEnglish
Pages (from-to)725-729
Number of pages5
JournalApplied Economics
Volume40
Issue number6
DOIs
Publication statusPublished - 2008 Mar 1

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Cointegration test
Eigenvalues
Simulation
Statistics
Limit distribution
Johansen test

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

Leybourne, Steve ; Kim, Tae Hwan ; Newbold, Paul. / A more powerful modification of Johansen's cointegration tests. In: Applied Economics. 2008 ; Vol. 40, No. 6. pp. 725-729.
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A more powerful modification of Johansen's cointegration tests. / Leybourne, Steve; Kim, Tae Hwan; Newbold, Paul.

In: Applied Economics, Vol. 40, No. 6, 01.03.2008, p. 725-729.

Research output: Contribution to journalArticle

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