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Numerical Distribution Functions for Unit Root and Cointegration Tests

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  • James G. MacKinnon

Abstract

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P values for any of the tests. Graphs of some of the tabulated distribution functions are provided. There is also an empirical example.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_918.pdf
File Function: First version 1995
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 918.

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Length: 26 pages
Date of creation: Jan 1995
Date of revision:
Handle: RePEc:qed:wpaper:918

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Related research

Keywords: unit root tests; Dickey-Fuller tests; cointegration tests; Engle-Granger test; response surfaces; critical values; approximate P values; simulation methods;

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References

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  1. Pierse, R. G. & Snell, A. J., 1995. "Temporal aggregation and the power of tests for a unit root," Journal of Econometrics, Elsevier, vol. 65(2), pages 333-345, February.
  2. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
  3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
  4. Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Tests For A Unit Root," Papers 355, Princeton, Department of Economics - Econometric Research Program.
  5. 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.
  6. Allan W. Gregory & David G. Watt, 1995. "Sources of Variation in International Real Interest Rates," Working Papers 923, Queen's University, Department of Economics.
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