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Determination of Cointegration Rank in the Presence of a Linear Trend

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  • Johansen, Soren

Abstract

It is shown how the table in S. Johansen and K. Juselius (1990) can be applied to make inference on the cointegration rank. The reason that inference is difficult is that the limit distribution of the proposed likelihood ratio test statistic depends on which parameter is considered under the null. It is shown how a recent procedure for unit root testing suggested by S. G. Pantula (1989) solves the problem. The procedure is illustrated by some published econometric examples. Copyright 1992 by Blackwell Publishing Ltd

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  • Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
    • Handle: RePEc:bla:obuest:v:54:y:1992:i:3:p:383-97
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