Critical Values For Cointegration Tests

James MacKinnon

No 1227, Working Paper from Economics Department, Queen's University

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

Keywords: unit root test; Dickey-Fuller test; Engle-Granger test; ADF test (search for similar items in EconPapers)
JEL-codes: C12 C15 C16 C22 C32 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2010-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (394)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1227.pdf First version 2010 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1227

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