Distributions of Error Correction Tests for Cointegration

Neil Ericsson and James MacKinnon

No 561, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Three empirical examples illustrate these tools.

Date: 2000-08-01
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Related works:
Journal Article: Distributions of error correction tests for cointegration (2002)
Working Paper: Distributions of error correction tests for cointegration (1999)
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