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Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

Author Info

  • 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.

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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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Paper provided by York University, Department of Economics in its series Working Papers with number 1996_07.

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Length: 26 pages
Date of creation: Sep 1996
Date of revision:
Handle: RePEc:yca:wpaper:1996_07
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Keywords: cointegration tests; Johansen tests; vector autoregressions; response surfaces; critical values; approximate P values; simulation; EMU; European Union;

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Find related papers by 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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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Heaton, John, 1995. "An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications," Econometrica, Econometric Society, vol. 63(3), pages 681-717, May.
  6. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  7. Arman Mansoorian, 1996. "Habits and Durability in Consumption, and the Dynamics of the Current Account," Working Papers 1996_01, York University, Department of Economics.
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