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?!
Best
Pindar