Distributions of Error Correction Tests for Cointegration

48 Pages Posted: 11 Aug 2000

See all articles by Neil R. Ericsson

Neil R. Ericsson

Board of Governors of the Federal Reserve System

James G. MacKinnon

Queen's University - Department of Economics

Date Written: December 1999

Abstract

This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation 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 estimation 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. Three empirical examples illustrate these tools.

Keywords: critical value, distribution function, Monte Carlo, response surface

JEL Classification: C22, C52

Suggested Citation

Ericsson, Neil R. and MacKinnon, James G., Distributions of Error Correction Tests for Cointegration (December 1999). Available at SSRN: https://ssrn.com/abstract=224994 or http://dx.doi.org/10.2139/ssrn.224994

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Board of Governors of the Federal Reserve System ( email )

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James G. MacKinnon

Queen's University - Department of Economics ( email )

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