Looking for critical values for Johansen's trace test
On Mon, 24 Aug 2009 05:15:24 -0700 (PDT) RON70
<ron_michael70 at yahoo.com> wrote:
R> Hi can anyone please help me on where to get table for critical R> values for Johansen's Trace test for testing co-integration rank, R> for different type of deterministic terms? I already have looked R> into Hamilton's book however could not find what I want. Did you have a look at the ca.jo function of the urca package? You can have a look at the code with simply: ca.jo you will easily find the critical values with a little bit of programming knowledge... hth Stefan