Distributions Of Error Correction Tests For Cointegration  

Oleh:

Ericsson, Neil R. ; MacKinnon, James G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 5 no. 2 (2002), page 285-318.
Topik: Cointegration; Critical value; Distribution function; Error correction; Monte Carlo; Response surface.
Fulltext: 285.pdf (448.21KB)

Isi artikel

This paper provides densities and finite sample critical values for the singleequation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic’s quantiles on the number of variables in the error correction model, the choice of deterministic components, and the sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Two empirical applications illustrate these tools.

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