Approximate Asymptotic Distribution Functions for Unit Root and Cointegration Tests

James MacKinnon ()

Working Papers from Queen's University, Department of Economics

Abstract: This paper uses Monte Carlo experiments and regression methods to calculate approximate asymptotic distribution functions for a number of well-known unit root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the paper are based on a very extensive set of Monte Carlo experiments, which yield finite-sample critical values for a number of sample sizes. Response surface regressions are then used to obtain asymptotic critical values for a large number of different test sizes. Finally, regression methods are used to estimate approximate distribution functions with simple functional forms.

Keywords: econometrics; economic models (search for similar items in EconPapers)
Date: 1992

Published in Journal of Business and Economic Statistics, 12, 1994

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http://www.econ.queensu.ca/working_papers/papers/qed_wp_861.pdf First version 1992 (application/pdf)

Related works:
Journal Article: Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests (1994)
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Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:861

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