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Numerical distribution functions for unit root and cointegration tests

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Numerical analysis calculates critical values for unit root and cointegration tests, suggesting broader applicability in econometrics.

This study aims to develop numerical distribution functions for unit root and cointegration tests using simulation methods.
Employed response surface regressions based on simulation experiments to calculate distribution functions.
Provided a computer program for calculating critical values and P-values available online.
Included empirical example analyzing interest rates and inflation rates in Canada.
Set of data files containing estimated response surface coefficients was created.
Graphs of tabulated distribution functions are provided for clarity.
The program enables easy calculation of asymptotic and finite-sample critical values.

James G. MacKinnon (1996) studied this question.

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