Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189185 
Year of Publication: 
1992
Series/Report no.: 
Queen's Economics Department Working Paper No. 861
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
This paper uses Monte Carlo experiments and regression methods to calculate approximate asymptotic distribution functions for a number of well-known unit root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the paper are based on a very extensive set of Monte Carlo experiments, which yield finite-sample critical values for a number of sample sizes. Response surface regressions are then used to obtain asymptotic critical values for a large number of different test sizes. Finally, regression methods are used to estimate approximate distribution functions with simple functional forms.
Document Type: 
Working Paper

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