Looking for critical values for Johansen's trace test
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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