Empirical distributions of the studentized Augmented Dicky-Fuller cointegration statistic for data generated by simulation are analyzed for small samples. Empirical 1 percent, 5 percent and 10 percent fractiles are tabulated for various sample sizes and various numbers of regressors. It is found...

Macroeconomic model builders attempting to construct forecasting models frequently face constraints of data scarcity in terms of short time series of data, and also of parameter non-constancy and underspecification. Hence, a realistic alternative is often to guess rather than to estimate...