Numerical distribution functions for unit root and cointegration tests

1996/11/01 by James G. MacKinnon · 6 citations
Economics, Econometrics and Finance · #Monetary Policy and Economic Impact #Market Dynamics and Volatility #Italy: Economic History and Contemporary Issues

paper · doi:10.1002/(sici)1099-1255(199611)11:6<601::aid-jae417>3.0.co;2-t

Abstract

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P-values for any of the tests. Graphs of some of the tabulated distribution functions are provided. An empirical example deals with interest rates and inflation rates in Canada.

Citations

• Efficient and portable combined random number generators
• Testing for a unit root in time series regression
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing for unit roots in autoregressive-moving average models of unknown order

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