Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67744
Authors: 
MacKinnon, James G.
Year of Publication: 
2010
Series/Report no.: 
Queen's Economics Department Working Paper 1227
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. Added in 2010 version: A new appendix contains additional results that are more accurate and cover more cases than the ones in the original paper.
Subjects: 
Unit root test
Dickey-Fuller test
Engle-Granger test
ADF test
JEL: 
C12
C15
C16
C22
C32
Document Type: 
Working Paper

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