Critical Value for Cointegration test
Posted: 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
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