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Numerical Distribution Functions for Unit Root and Cointegration Tests

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Author Info
James G. MacKinnon

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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://www.econ.queensu.ca/working_papers/papers/qed_wp_918.pdf
File Format: application/pdf
File Function: First version 1995
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Publisher Info
Paper provided by Queen's University, Department of Economics in its series Working Papers with number 918.

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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

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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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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models

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This page was last updated on 2008-11-13.


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