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Reply To: Issue with JohansenTest

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#2790
haksunli
Keymaster

I would like to point out that SuanShu and R give different results for the p-values and statistics. R is not accurate. As you note, R has only a few critical points, e.g., 10%, 5%, 1%, and does a linear interpolation for the other values.

On the other hand, SuanShu computes the asymptotic distribution for Johansen tests using the exact distribution functions. More details can be found in these two references: MacKinnon et al (1999) and Pesaran et al (2000).