Numerical Distribution Functions for Unit Root and Cointegration Tests
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- James G. MacKinnon, 1995. "Numerical Distribution Functions For Unit Root And Cointegration Tests," Working Paper 918, Economics Department, Queen's University.
References listed on IDEAS
- Ghysels, Eric & Perron, Pierre, 1993.
"The effect of seasonal adjustment filters on tests for a unit root,"
Journal of Econometrics, Elsevier, vol. 55(1-2), pages 57-98.
- 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.
- Ghysels, E. & Perron, P., 1990. "The Effect of Seasonal Adjustment Filters on Test for Unit Root," Cahiers de recherche 9037, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Perron, P., 1990. "The Effect Of Seasonal Adjustment Filters On Test For Unit Root," Cahiers de recherche 9037, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ.
- 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.
- Allan W. Gregory & David G. Watt, 1995.
"Sources of Variation in International Real Interest Rates,"
Canadian Journal of Economics, Canadian Economics Association, vol. 28(s1), pages 120-140, November.
- Allan Gregory & David G. Watt, 1995. "Sources Of Variation In International Real Interest Rates," Working Paper 923, Economics Department, Queen's University.
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
- 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.
- Phillips, Peter C B & Ouliaris, S, 1990.
"Asymptotic Properties of Residual Based Tests for Cointegration,"
Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
- 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.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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