Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67754
Authors: 
MacKinnon, James G.
Nielsen, Morten Ørregaard
Year of Publication: 
2010
Series/Report no.: 
Queen's Economics Department Working Paper 1240
Abstract: 
We calculate numerically the 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 due 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. The use of this program is illustrated by means of an empirical example involving opinion poll data.
Subjects: 
cofractional process
fractional unit root
fractional cointegration
response surface regression
cointegration rank
numerical distribution function
model averaging
JEL: 
C12
C16
C22
C32
Document Type: 
Working Paper

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