Arbeitspapier
Numerical distribution functions of fractional unit root and cointegration tests
We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of this parameter, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by model averaging rather than by model selection. We make available a computer program which, given the dimension of the problem, q, and a value of b, provides either a set of critical values or the asymptotic P value for any value of the likelihood ratio statistic. The use of this program is illustrated by means of an empirical example involving opinion poll data.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 1240
- Klassifikation
-
Wirtschaft
Hypothesis Testing: 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
- Thema
-
cofractional process
fractional unit root
fractional cointegration
response surface regression
cointegration rank
numerical distribution function
model averaging
Unit Root Test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
MacKinnon, James G.
Nielsen, Morten Ørregaard
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- MacKinnon, James G.
- Nielsen, Morten Ørregaard
- Queen's University, Department of Economics
Entstanden
- 2010
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