Critical values for cointegration tests

Arbeitspapier

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available. The results of the simulation experiments are summarized by means of response surface regressions in which critical values depend on the sample size. From these regressions, asymptotic critical values can be read off directly, and critical values for any finite sample size can easily be computed with a hand calculator. Added in 2010 version: A new appendix contains additional results that are more accurate and cover more cases than the ones in the original paper.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 1227

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: Unit root test ; Dickey-Fuller test ; Engle-Granger test ; ADF test ; Unit Root Test ; Kointegration ; Schätztheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): MacKinnon, James G.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/67744
• Last update: 10.03.2025, 11:44 AM CET