Open AccessDistributions of error correction tests for cointegration
Author(s) -
Ericsson Neil R.,
MacKin James G.
Publication year - 2002
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/1368-423x.00085
Subject(s) - cointegration , quantile , statistic , monte carlo method , sample (material) , sample size determination , statistics , error detection and correction , mathematics , standard error , computer science , econometrics , algorithm , physics , thermodynamics
Summary This paper provides densities and finite sample critical values for the single‐equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p ‐values. Two empirical applications illustrate these tools.