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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

Author

Listed:
  • James G. MacKinnon

    () (Department of Economics, Queen's University, Canada)

  • Alfred A. Haug

    () (York University, Canada)

  • Leo Michelis

    () (Ryerson Polytechnic University, Canada)

Abstract

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.

Suggested Citation

  • James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
    • Handle: RePEc:yca:wpaper:1996_07
    as

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    File URL: ftp://dept.econ.yorku.ca/pub/working_papers/96-07.pdf
    File Function: First version, 1996
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    References listed on IDEAS

    as
    1. Mansoorian, Arman, 1996. "On the Macroeconomic Policy Implications of Habit Persistence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 119-129, February.
    2. 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.
    3. Mansoorian, Arman, 1998. "Habits and durability in consumption, and the dynamics of the current account," Journal of International Economics, Elsevier, vol. 44(1), pages 69-82, February.
    4. Obstfeld, Maurice, 1981. "Capital Mobility and Devaluation in an Optimizing Model with Rational Expectations," American Economic Review, American Economic Association, vol. 71(2), pages 217-221, May.
    5. David Backus & Patrick Kehoe & Finn Kydland, 1992. "Dynamics of the trade balance and the terms of trade: the J-curve revisited," Discussion Paper / Institute for Empirical Macroeconomics 65, Federal Reserve Bank of Minneapolis.
    6. 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.
    7. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    8. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    cointegration tests; Johansen tests; vector autoregressions; response surfaces; critical values; approximate P values; simulation; EMU; European Union;

    JEL classification:

    • 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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