EconPapers    
Economics at your fingertips  
 

Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration

James MacKinnon (), Alfred Haug () and Leo Michelis ()

Journal of Applied Econometrics, 1999, vol. 14, issue 5, 563-77

Abstract: This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously. The principal contributions of the paper are a set of data files 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 be used to calculate both asymptotic critical values and P-values.

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (828) Track citations by RSS feed

Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/1999-v14.5/ Supporting data files and programs (text/html)

Related works:
Working Paper: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1996)
Working Paper: Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration (1996) Downloads
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:jae:japmet:v:14:y:1999:i:5:p:563-77

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-04-11
Handle: RePEc:jae:japmet:v:14:y:1999:i:5:p:563-77