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

[RON70]

Thank you so much Guy, for this informative document. Here I actually want to
replicate the results given in Lutkepohl. Therefore looking for the same
document from which he got the critical values. When I compare those value
with that pdf, I find some differences. For example, let say constant
deterministic term. Here in lutkepohl, 10% critical value given as 7.50 with
(p-r)=2. However I could not find that value in that pdf file.

Lutkepohl refer the table as "Johansen (1995, tables 15.2, 15.3, 15.4)". Are
you aware of that? Can you provide me any link there in net?

Thanks


Guy Yollin-2 wrote:
> 
> 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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