Hi Ron: That refers to Johansen's text, "Likelihood Based Inference in Cointegrated Vector Auto-Regressive models and particularly chapter 15. I have the book and therefore<br />the tables so , if you want me to fax them to you, let me know. On the other hand,<br />his book gives the detailed description of the derivation of all of his cointegration material (I've<br />only read bits and pieces ) so if you really want the info as spoken by the master,<br />it might be worth buying ? <br /><br />or, if you need specific values, maybe you can just ask me offline and I can tell you them ?<br /><br /><br /><br /><br /><br /><p>On Aug 24, 2009, <strong>RON70</strong> <ron_michael70@yahoo.com> wrote: </p><div class="replyBody"><blockquote style="border-left: 2px solid #267fdb; margin: 0pt 0pt 0pt 1.8ex; padding-left: 1ex"><br />Thank you so much Guy, for this informative document. Here I actually want to<br />replicate the results given in Lutkepohl. Therefore looking for the same<br />document from which he got the critical values. When I compare those value<br />with that pdf, I find some differences. For example, let say constant<br />deterministic term. Here in lutkepohl, 10% critical value given as 7.50 with<br />(p-r)=2. However I could not find that value in that pdf file.<br /><br />Lutkepohl refer the table as "Johansen (1995, tables 15.2, 15.3, 15.4)". Are<br />you aware of that? Can you provide me any link there in net?<br /><br />Thanks<br /><br /><br />Guy Yollin-2 wrote:<br />> <br />> Ron,<br />> <br />> The following pdf has tables of critical values from Osterwald-Lenum<br />> (1992) for the cases of 1) restricted constant 2) unrestricted constant 3)<br />> restricted trend 4) unrestricted constant and trend:<br />> <br />> <a href="http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/jeremysmith/manual/statisticaltables.pdf" target="_blank" class="parsedLink">http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/jeremysmith/manual/statisticaltables.pdf</a><br />> <br />> Best,<br />> <br />> -- G<br />> <br />> <br />> -----Original Message-----<br />> From: <a href="mailto:r-sig-finance-bounces@stat.math.ethz.ch" target="_blank" class="parsedEmail">r-sig-finance-bounces@stat.math.ethz.ch</a><br />> [mailto:<a href="mailto:r-sig-finance-bounces@stat.math.ethz.ch" target="_blank" class="parsedEmail">r-sig-finance-bounces@stat.math.ethz.ch</a>] On Behalf Of RON70<br />> Sent: Monday, August 24, 2009 5:15 AM<br />> To: <a href="mailto:r-sig-finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">r-sig-finance@stat.math.ethz.ch</a><br />> Subject: [R-SIG-Finance] [R-sig-finance] Looking for critical values for<br />> Johansen's trace test<br />> <br />> <br />> Hi can anyone please help me on where to get table for critical values for<br />> Johansen's Trace test for testing co-integration rank, for different type<br />> of<br />> deterministic terms? I already have looked into Hamilton's book however<br />> could not find what I want.<br />> <br />> Your help will be highly appreciated.<br />> <br />> Thanks<br />> -- <br />> View this message in context:<br />> <a href="http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25115000.html" target="_blank" class="parsedLink">http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25115000.html</a><br />> Sent from the Rmetrics mailing list archive at Nabble.com.<br />> <br />> _______________________________________________<br />> <a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br />> <a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />> -- Subscriber-posting only.<br />> -- If you want to post, subscribe first.<br />> <br />> _______________________________________________<br />> <a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br />> <a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />> -- Subscriber-posting only.<br />> -- If you want to post, subscribe first.<br />> <br />> <br /><br />-- <br />View this message in context: <a href="http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25119450.html" target="_blank" class="parsedLink">http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25119450.html</a><br />Sent from the Rmetrics mailing list archive at Nabble.com.<br /><br />_______________________________________________<br /><a href="mailto:R-SIG-Finance@stat.math.ethz.ch" target="_blank" class="parsedEmail">R-SIG-Finance@stat.math.ethz.ch</a> mailing list<br /><a href="https://stat.ethz.ch/mailman/listinfo/r-sig-finance" target="_blank" class="parsedLink">https://stat.ethz.ch/mailman/listinfo/r-sig-finance</a><br />-- Subscriber-posting only.<br />-- If you want to post, subscribe first.<br /></blockquote></div>