Critical Values for Cointegratio11 Tests*
Published 31 October 1991
James G. MacKinnon
Citations750
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Abstract
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.
Keywords
Computer ScienceDecision Sciences