Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration.

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both asymptotic critical values and asymptotic P values is available via the Internet.

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Year of publication:	1996
Authors:	Mackinnon, J.G. ; Haug, A.A. ; Michelis, L.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	TIME SERIES \| ECONOMETRICS \| TESTS \| MATHEMATICS

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	23 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005779643