Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests
Datos Bibliográficos
| ID | 19418657 |
|---|---|
| Autores | James G MacKinnon (0000-0002-5457-294X, Queen's University, autor de correspondencia) |
| Año | 1994 |
| Volumen | 12 |
| Número | 2 |
| Páginas | 167-176 |
| Fecha de publicación | 1994-04-01 |
| Peer Reviewed | Sí |
| Open Access | No |
| Tipo | ARTICLE |
| Revista | Journal of Business and Economic Statistics (JOURNAL) |
| Identificadores de la revista | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Editorial | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1994.10510005 |
| OpenAlex | W2080303295 |
| Idioma | EN |
| Citas recibidas | 24 |
| Referencias citadas | 22 |
This article uses Monte Carlo experiments and response surface regressions in a novel way to calculate approximate asymptotic distribution functions for several well-known unit-root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the article are based on an extensive set of Monte Carlo experiments, which yield finite-sample quantiles for several sample sizes. Based on these, response surface regressions are used to obtain asymptotic quantiles for many different test sizes. Then approximate distribution functions with simple functional forms are estimated from these asymptotic quantiles
Asymptotic analysis · Asymptotic distribution · Cointegration · Econometrics · Estimator · Mathematical analysis · Monte Carlo method · Quantile · Sample size determination · Statistics · Unit root · Unit root test · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference · Applied Mathematics
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| Obras citantes distintas | 24 |
|---|---|
| Citas por año | 0,75 |
| Intervalo de citas | 1994 - 2026 (33) |
| Velocidad de citación | current |
| Altamente citado | No |
| Tipos de cita | Neutras: 21 |