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Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests

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  • James G. MacKinnon

Abstract

This paper uses Monte Carlo experiments and regression methods to calculate approximate asymptotic distribution functions for a number of well-known unit root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the paper are based on a very extensive set of Monte Carlo experiments, which yield finite-sample critical values for a number of sample sizes. Response surface regressions are then used to obtain asymptotic critical values for a large number of different test sizes. Finally, regression methods are used to estimate approximate distribution functions with simple functional forms.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_861.pdf
File Function: First version 1992
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 861.

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Length: 25 pages
Date of creation: Nov 1992
Date of revision:
Handle: RePEc:qed:wpaper:861

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  1. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  2. Gregory, Allan W, 1994. "Testing for Cointegration in Linear Quadratic Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(3), pages 347-60, July.
  3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198283393, October.
  4. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
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