Turner, Paul Testing for cointegration using the Johansen approach: are we using the correct critical values? 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 the cases considered by Osterwald-Lenum (1992) and Pesaran, Shin and Smith (2000). The result is a tendency to reject the null of no cointegration too often. However, a simple adjustment of the critical values is enough to deal with the problem. untagged;Economics not elsewhere classified 2007-06-05
    https://repository.lboro.ac.uk/articles/preprint/Testing_for_cointegration_using_the_Johansen_approach_are_we_using_the_correct_critical_values_/9492902