Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests

James MacKinnon

Journal of Business & Economic Statistics, 1994, vol. 12, issue 2, 167-76

Abstract: Monte Carlo experiments and response surface regressions are used 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 an extensive set of Monte Carlo experiments, which yield finite-sample quantiles for several sample sizes. Response surface regressions are then used to obtain asymptotic quantiles for a large number of different test sizes. Finally, approximate distribution functions with simple functional forms are estimated from these asymptotic quantiles.

Date: 1994
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Working Paper: Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests (1992)
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