Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration
This paper employs response surface regressions based on simulation experments to calculate asymptotic distribution functions for the likelihood ratio tests for cointegration proposed by Johansen The paper provides tables of critical values that are very much more accurate than those available previously However the principal contributions of the paper are a set of data les that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them This program which is freely available via the Internet can easily be used to calculate asymptotic critical values and P values Graphs of some of the tabulated distribution functions are also provided An empirical example motivated by the European Economic and Monetary Union proposed in the Maastricht Treaty suggests that not all the countries of the European Union may qualify initially for participation in the EMU.
|Date of creation:||Sep 1996|
|Date of revision:|
|Contact details of provider:|| Postal: 4700 Keele Street, Toronto, Ontario, M3J 1P3|
Phone: (416) 736-5083
Fax: (416) 736-5987
Web page: http://dept.econ.yorku.ca/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1994.
"Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?,"
American Economic Review,
American Economic Association, vol. 84(1), pages 84-103, March.
- Morten Ravn, . "GAUSS code for Backus-Kehoe-Kydland," QM&RBC Codes 106, Quantitative Macroeconomics & Real Business Cycles.
- David Backus & Patrick Kehoe & Finn E. Kydland, 1992. "DOS executable for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"," QM&RBC Codes 5, Quantitative Macroeconomics & Real Business Cycles.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the trade balance and the terms of trade: the S-curve," Working Paper 9211, Federal Reserve Bank of Cleveland.
- David Backus & Patrick Kehoe & Finn E. Kydland, 1992. "Web interface for "Dynamics of the Trade Balance and the Terms of Trade: The J-Curve?"," QM&RBC Codes 5a, Quantitative Macroeconomics & Real Business Cycles.
- David Backus & Patrick J. Kehoe & Finn E. Kydland, 1992. "Dynamics of the Trade Balance and the Terms of Trade: The S-Curve," NBER Working Papers 4242, National Bureau of Economic Research, Inc.
- Arman Mansoorian, 1996. "Habits and Durability in Consumption, and the Dynamics of the Current Account," Working Papers 1996_01, York University, Department of Economics.
- Maurice Obstfeld, 1980.
"Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations,"
NBER Working Papers
0557, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1981. "Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations," American Economic Review, American Economic Association, vol. 71(2), pages 217-21, May.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- Harl E. Ryder & Geoffrey M. Heal, 1973. "Optimal Growth with Intertemporally Dependent Preferences," Review of Economic Studies, Oxford University Press, vol. 40(1), pages 1-31.
- Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
- Mansoorian, Arman, 1996. "On the Macroeconomic Policy Implications of Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 119-29, February.
When requesting a correction, please mention this item's handle: RePEc:yca:wpaper:1996_07. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Support)
If references are entirely missing, you can add them using this form.