Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

James MacKinnon (), Alfred Haug () and Leo Michelis ()
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Alfred Haug: York University, Canada

Working Papers from York University, Department of Economics

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.

Keywords: cointegration tests; Johansen tests; vector autoregressions; response surfaces; critical values; approximate P values; simulation; EMU; European Union (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 1996-09
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ftp://dept.econ.yorku.ca/pub/working_papers/96-07.pdf First version, 1996

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:yca:wpaper:1996_07

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