This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to a confusion in the specification of the deterministic terms included in the VECM between...

In this paper we generate critical values for a test for cointegration based on the joint significance of the levels terms in an error correction equation. We show that the appropriate critical values are higher than those derived from the standard F-distribution. We compare the power properties...

This paper presents Monte Carlo simulations which compare the empirical performance of two alternative single equation estimators of the equilibrium parameters in a dynamic relationship. The estimators considered are Stock and Watson's dynamic ordinary least squares (DOLS) estimator and Bewley's...