Mackinnon, J.G.; Haug, A.A.; Michelis, L. - Groupement de Recherche en Économie Quantitative … - 1996
This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions of the tests for cointegration proposed by Johansen. The paper provides accurate tables of asymptotic critical values. A program which can be used to calculate both...