A more powerful modification of Johansen's cointegration tests

Steve Leybourne School of Economics, University of Nottingham, Nottingham, NG7 2RD, UK

Tae-Hwan Kim School of Economics, University of Nottingham, Nottingham, NG7 2RD, UK; Department of Economics, Yonsei University, 134 Shinchon-dong, Seodaemun-gu, Seoul, 120-749, KoreaCorrespondence[email protected]

Paul Newbold School of Economics, University of Nottingham, Nottingham, NG7 2RD, UK

References

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Leybourne , SJ , Kim , T-H and Newbold , P . 2005 . Examination of some more powerful modifications of the Dickey–Fuller test . Journal of Time Series Analysis , 26 : 355 – 69 .
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