Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

James MacKinnon (), A.A. Haug and Leo Michelis ()

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both asymptotic critical values and asymptotic P values is available via the Internet.

Keywords: TIME SERIES; ECONOMETRICS; TESTS; MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C12 C15 C32 (search for similar items in EconPapers)
Date: 1996
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Related works:
Working Paper: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1996)
Journal Article: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1999)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:aixmeq:96a09

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