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Queen's Economics Department Working Paper No. 918
Queen's University, Department of Economics, Kingston (Ontario)
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P values for any of the tests. Graphs of some of the tabulated distribution functions are provided. There is also an empirical example.
unit root tests
Dickey-Fuller tests
cointegration tests
Engle-Granger test
response surfaces
critical values
approximate P values
simulation methods
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Working Paper

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