Critical values- Cointegrations with exogenous variables

[romiromero]

Hello,

I need to include a dummy variable as an exogenous one in the Johansen cointegration test; however, I noticed that the following note appears when performing this test "critical values may be not valid with exogenous variables", so what critical values are valid in this case? Can you give me a reference please?

Thank you very much in advance.
Regards,