Numerical Distribution Functions for Unit Root and Cointegration Tests
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- 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 601-618, Nov.-Dec..
References listed on IDEAS
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More about this item
Keywordsunit root tests; Dickey-Fuller tests; cointegration tests; Engle-Granger test; response surfaces; critical values; approximate P values; simulation methods;
- 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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