Critical Values for Cointegration Tests

James MacKinnon

No 273723, Queen's Economics Department Working Papers from Queen's University - Department of Economics

Abstract: This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size. From these regressions, asymptotic critical values can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator. Added in 2010 version: A new appendix contains additional results that are more accurate and cover more cases than the ones in the original paper.

Keywords: Agricultural; and; Food; Policy (search for similar items in EconPapers)
Pages: 19
Date: 2010-01
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https://ageconsearch.umn.edu/record/273723/files/qed_wp_1227.pdf (application/pdf)

Related works:
Working Paper: Critical Values For Cointegration Tests (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:quedwp:273723

DOI: 10.22004/ag.econ.273723

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