A more powerful modification of Johansen's cointegration tests

Steve Leybourne, Tae Hwan Kim, Paul Newbold

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


We apply the idea of using reversed time series to improve the power of Johansen tests. We suggest computationally simple variants of the trace and maximum eigenvalue statistics and establish their limit distributions. Both are shown, via simulation, to yield nontrivial power gains.

Original languageEnglish
Pages (from-to)725-729
Number of pages5
JournalApplied Economics
Issue number6
Publication statusPublished - 2008 Mar

Bibliographical note

Funding Information:
Tae-Hwan Kim is grateful to the College of Business and Economics at Yonsei University for financial support.

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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