Numerical distribution functions of likelihood ratio tests for cointegration
Published in Journal of Applied Econometrics • Sep 1, 1999
Authors:,,
James G. MacKinnon
Alfred A. Haug
Leo Michelis
Abstract
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that ...
Finding related papers...
Discussions
(0)No comments yet
Be the first to share your thoughts!