Numerical Distribution Functions for Unit Root and Cointegration Tests

James MacKinnon ()

No 918, Working Papers from Queen's University, Department of Economics

Abstract: This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P values for any of the tests. Graphs of some of the tabulated distribution functions are provided. There is also an empirical example.

Keywords: unit root tests; Dickey-Fuller tests; cointegration tests; Engle-Granger test; response surfaces; critical values; approximate P values; simulation methods (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: Written
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Published in Journal of Applied Econometrics, 11, 1996

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http://www.econ.queensu.ca/working_papers/papers/qed_wp_918.pdf First version 1995 (application/pdf)

Related works:
Journal Article: Numerical Distribution Functions for Unit Root and Cointegration Tests (1996)
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Persistent link: http://EconPapers.repec.org/RePEc:qed:wpaper:918

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