Numerical distribution functions for unit root and cointegration tests
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 a...
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Veröffentlicht in: | Journal of applied econometrics (Chichester, England) England), 1996-11, Vol.11 (6), p.601-618 |
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Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | 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. |
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ISSN: | 0883-7252 1099-1255 |
DOI: | 10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T |