[R-SIG-Finance] [R-sig-finance] Looking for critical values for Johansen's trace test

Guy Yollin guy.yollin at rotellacapital.com
Mon Aug 24 17:13:50 CEST 2009


The following pdf has tables of critical values from Osterwald-Lenum (1992) for the cases of 1) restricted constant 2) unrestricted constant 3) restricted trend 4) unrestricted constant and trend:



-- G

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of RON70
Sent: Monday, August 24, 2009 5:15 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] [R-sig-finance] Looking for critical values for Johansen's trace test

Hi can anyone please help me on where to get table for critical values for
Johansen's Trace test for testing co-integration rank, for different type of
deterministic terms? I already have looked into Hamilton's book however
could not find what I want.

Your help will be highly appreciated.

View this message in context: http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25115000.html
Sent from the Rmetrics mailing list archive at Nabble.com.

R-SIG-Finance at stat.math.ethz.ch mailing list
-- Subscriber-posting only.
-- If you want to post, subscribe first.

More information about the R-SIG-Finance mailing list