Critical Values for Cointegration Tests
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Abstract
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.
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The record
- Venue
- AgEcon Search (University of Minnesota, USA)
- Topic
- Monetary Policy and Economic Impact
- Field
- Economics, Econometrics and Finance
- Canadian institutions
- Queen's University
- Funders
- Social Sciences and Humanities Research Council of CanadaUniversity of California, San Diego
- Keywords
- CointegrationCalculatorSample (material)Cover (algebra)Sample size determinationEconometricsComputer scienceStatisticsMathematicsEngineeringMechanical engineering
- Has abstract in OpenAlex
- yes