A more powerful modification of Johansen's cointegration tests

Steve Leybourne; Tae Hwan Kim; Paul Newbold

doi:10.1080/00036840600749714

A more powerful modification of Johansen's cointegration tests

Steve Leybourne, Tae Hwan Kim, Paul Newbold

Department of Economics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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 language	English
Pages (from-to)	725-729
Number of pages	5
Journal	Applied Economics
Volume	40
Issue number	6
DOIs	https://doi.org/10.1080/00036840600749714
Publication status	Published - 2008 Mar

Bibliographical note

Funding 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

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10.1080/00036840600749714

Cite this

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title = "A more powerful modification of Johansen's cointegration tests",

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.",

author = "Steve Leybourne and Kim, {Tae Hwan} and Paul Newbold",

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AU - Kim, Tae Hwan

AU - Newbold, Paul

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A more powerful modification of Johansen's cointegration tests

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

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