Critical Value for Cointegration test

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gpriest1412
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Joined: Sun Jan 31, 2016 6:29 pm

Critical Value for Cointegration test

Postby gpriest1412 » Fri Jan 13, 2017 1:06 am

Dear Friends,
how to calculate the Critical values in cointegartion test?
The user guide says
"Critical values are available for up to k=10 series. Also note that the critical values depend on the trend assumptions and may not be appropriate for models that contain other deterministic regressors. For example, a shift dummy variable in the test VAR implies a broken linear trend in the level series ."

If I test above 10 variables, how can I calculate critical values and P-value by myself?

Sincerely

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