James G. MacKinnon
Morten ├śrregaard Nielsen

numerical distribution functions of fractional unit root and cointegration tests (replication data)

We calculate, by simulations, numerical 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 owing 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.

Data and Resources

Suggested Citation

MacKinnon, James G.; Nielsen, Morten ├śrregaard (2014): NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022321.0712224679