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Numerical Distribution Functions for Unit Root and Cointegration Tests

  • MacKinnon, James G

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. An empirical example deals with interest rates and inflation rates in Canada. Copyright 1996 by John Wiley & Sons, Ltd.

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File URL: http://qed.econ.queensu.ca:80/jae/1996-v11.6/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 11 (1996)
Issue (Month): 6 (Nov.-Dec.)
Pages: 601-18

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Handle: RePEc:jae:japmet:v:11:y:1996:i:6:p:601-18
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  1. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
  2. 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.
  3. 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.
  4. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
  5. Allan W. Gregory & David G. Watt, 1995. "Sources of Variation in International Real Interest Rates," Working Papers 923, Queen's University, Department of Economics.
  6. 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.
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