Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

James MacKinnon, Alfred 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)
Pages: 23 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (52)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1999)
Working Paper: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:96a09

Access Statistics for this paper

More papers in G.R.E.Q.A.M. from Universite Aix-Marseille III G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().