Numerical Distribution Functions for Unit Root and Cointegration Tests
AbstractThis 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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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 918.
Length: 26 pages
Date of creation: Jan 1995
Date of revision:
unit root tests; Dickey-Fuller tests; cointegration tests; Engle-Granger test; response surfaces; critical values; approximate P values; simulation methods;
Other versions of this item:
- MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Asymptotic Properties of Residual Based Tests for Cointegration,"
Cowles Foundation Discussion Papers
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355, Princeton, Department of Economics - Econometric Research Program.
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- Allan W. Gregory & David G. Watt, 1995. "Sources of Variation in International Real Interest Rates," Working Papers 923, Queen's University, Department of Economics.
- 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.
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