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

Leon Unger pindar at zedat.fu-berlin.de
Sat Jan 8 12:20:08 EST 2011


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?!

Best
Pindar
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