MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes "exact" critical values for the Dickey-Fuller and the Engle-Granger cointegration tests from the response surface regressions in MacKinnon, J. (1991), "Critical Values for Cointegration Tests", Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger, eds. London: Oxford University Press.

Language: RATS
Requires: RATS 5.10
Keywords: Unit; root; tests (search for similar items in EconPapers)
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