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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Paper provided by Queen's University, Department of Economics in its series Working Papers with number
918.
Length: 29 Date of creation: Jan 1995 Date of revision: Publication status: Published in Journal of Applied Econometrics, 11, 1996 Handle: RePEc:qed:wpaper:918
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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