Re: [Gretl-users] MacKinnon, Haug, and Michelis (1999) critical values

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