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

[Guy Yollin]

Ron,

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:

http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/jeremysmith/manual/statisticaltables.pdf

Best,

-- 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.

Thanks
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