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Distributions of error correction tests for cointegration. (English) Zbl 1018.62107
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.

MSC:
62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65C05 Monte Carlo methods
62E15 Exact distribution theory in statistics
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