4 messages · Ron Michael, Stefan Grosse, Guy Yollin
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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On Mon, 24 Aug 2009 05:15:24 -0700 (PDT) RON70
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
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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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
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 -- View this message in context: http://www.nabble.com/Looking-for-critical-values-for-Johansen%27s-trace-test-tp25115000p25115000.html Sent from the Rmetrics mailing list archive at Nabble.com.
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