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