Critical values and p-values for cointegration tests
Critical values and p-values are essential elements for performing cointegration tests. For an excellent introduction,
we refer the user to the Econometric Theory and Methods book by Russel Davidson and James G. MacKinnon.
We have made available the estimators first published in the following papers:
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James G. MacKinnon, "Numerical distribution functions for unit root and cointegration tests," Journal of Applied Econometrics, 11, 1996, 601-618.
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James G. MacKinnon, Alfred Haug, and Leo Michelis, "Numerical distribution functions of likelihood ratio tests for cointegration,"
Journal of Applied Econometrics, 14, 1999, 563-577
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Neil R. Ericsson and James G. MacKinnon (2002) "Distributions of Error Correction Tests for Cointegration",
Econometrics Journal, 5, 2002, 285-318