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Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests

James MacKinnon () and Morten Nielsen ()

No 1240, Working Paper from Economics Department, Queen's University

Abstract: We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on real valued parameters, d and b, which must be estimated, simple tabulation isnot feasible. Partly due to the presence of these parameters, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by modelaveraging rather than by model selection. We make available a computer program which, given the dimension of the problem, q, and values of d and b, provides either a set of critical values or the asymptotic P value for any value of the likelihood ratio statistic.

Keywords: cofractional process; fractional unit root; fractional cointegration; response surface regression; cointegration rank; numerical CDF; model averaging (search for similar items in EconPapers)
JEL-codes: C12 C16 C22 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2010-07
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