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Critical Values For Cointegration Tests

Author

Listed:
  • James G. MacKinnon

    (Queen's University)

Abstract

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based oncomputer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by meansof response surface regressions in which critical values depend on thesample size. From these regressions, asymptotic critical values can be readoff directly, and critical values for any finite sample size can easily becomputed with a hand calculator. Added in 2010 version: A new appendixcontains additional results that are more accurate and cover more cases thanthe ones in the original paper.

Suggested Citation

  • James G. MacKinnon, 2010. "Critical Values For Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1227
    as

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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1227.pdf
    File Function: First version 2010
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    References listed on IDEAS

    as
    1. Neil R. Ericsson & James G. MacKinnon, 2002. "Distributions of error correction tests for cointegration," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
    2. Hylleberg, Svend & Mizon, Grayham E., 1989. "A note on the distribution of the least squares estimator of a random walk with drift," Economics Letters, Elsevier, vol. 29(3), pages 225-230.
    3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    4. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    5. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    6. West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
    7. 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.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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