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Numerical distribution functions of fractional unit root and cointegration tests

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Author Info

  • James G. MacKinnon

    ()
    (Queen's University)

  • Morten Ørregaard Nielsen

    ()
    (Queen's University and CREATES)

Abstract

We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter b which must be estimated, simple tabulation is not feasible. Partly due to the presence of this parameter, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by model averaging rather than by model selection. We make available a computer program which, given the dimension of the problem, q, and a value of b, provides either a set of critical values or the asymptotic P value for any value of the likelihood ratio statistic.

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File URL: http://www.econ.queensu.ca/working_papers/papers/qed_wp_1240.pdf
File Function: Third version 2012
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1240.

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Length: 12 pages
Date of creation: May 2012
Date of revision:
Handle: RePEc:qed:wpaper:1240

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Related research

Keywords: fractional unit root; fractional cointegration; likelihood ratio test; model averaging; numerical CDF; response surface regression;

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Cited by:
  1. Katarzyna Lasak & Carlos Velasco, 2013. "Fractional cointegration rank estimation," CREATES Research Papers 2013-08, School of Economics and Management, University of Aarhus.
  2. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, School of Economics and Management, University of Aarhus.

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