Numerical distribution functions for unit root and cointegration tests

TLDR

The paper aims to compute distribution functions for common unit root and cointegration test statistics. It uses response surface regressions derived from simulation experiments to estimate these distribution functions. The authors provide data files of estimated coefficients, a freely available program to compute critical values and p‑values, and illustrative graphs and an empirical example with Canadian interest and inflation rates.

Abstract

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P-values for any of the tests. Graphs of some of the tabulated distribution functions are provided. An empirical example deals with interest rates and inflation rates in Canada.