Toda, Hiro Y. - In: Econometric Theory 11 (1995) 05, pp. 1015-1032
This paper investigates through Monte Carlo simulation the finite sample properties of likelihood ratio tests for cointegrating ranks that were proposed by Johansen (1991, <italic>Econometrica</italic> 59, 1551–1580). We transform the model into a canonical form so that the experiment is well controlled...