This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal ...

Journal of Applied Econometrics Vol. 24, No. 5, Aug., 2009 Testing for Cointegration Using the Johansen Approach: Are We Using the Correct Critical Values? This is the metadata section. Skip to ...

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of ...