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
1. Verfasser:	MacKinnon, James G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Coefficients Computer programming Critical values Distribution Distribution functions Econometric models Econometrics Inflation Inflation rates Interest rates Null hypothesis P values Regression analysis Root test Roots of functions Sample size Simulation Statistical methods Studies
Online-Zugang:	Volltext
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