Am 08.01.2011 18:20, schrieb Leon Unger:
> Hi there,
>
> I've got a question concering the MacKinnon, Haug, and Michelis (1999)
> critical values in VECMs.
> At University I (have to) work with EViews and after performing a
> Johansen Cointergrating Test including an I(0) exogenous variable.
> However, I wonder whether the test is biased towards finding a CI vector
> when including this variable. Hence I looked up in the object reference
> and found:
>
> "Note that the output for cointegration tests displays p-values for the
> rank test statistics.These p-values are computed using the response
> surface coefficients as estimated in MacKinnon, Haug, and Michelis
> (1999). The 0.05 critical values are also based on the response surface
> coefficients from MacKinnon-Haug-Michelis. Note: the reported critical
> values assume no exogenous variables other than an intercept and trend."
>
> Does anyone know, whether there exist critical values including an I(0)
> variable different from an intercept and trend?!
>
I would look at this article:
@Article{RePEc:eee:econom:v:85:y:1998:i:2:p:339-385,
author={Byeongseon, Seo},
title={Statistical inference on cointegration rank in error correction
models with stationary covariates},
journal={Journal of Econometrics},
year=1998,
volume={85},
number={2},
pages={339-385},
month={August},
keywords={},
abstract={No abstract is available for
this item.},
url={http://ideas.repec.org/a/eee/econom/v85y1998i2p339-385.html}
}
It's been a while since I read that paper, so I don't remember the
concrete solution/answer to your question. I doubt that it was a trivial
thing, however.
good luck,
sven
