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...

We propose a test for spatial correlation in Probit models that is a joint test for exclusion of spatially lagged-dependent variables and absence of spatial-error correlation. We give a maximum-likelihood justification for the test but use a simulations approach rather than relying on its...

Simplex is a geometric figure which is extensively used in economic theory. Depending on the needs of the theory, a simplex S is sometimes cut with a hyperplane H, which separates it into two parts T and T'. It may be useful to appreciate the manner in which the simplex in cut. One mode of...

Bootstrap tests are tests for which the significance level is calculated by some sort of bootstrap procedure, which may be parametric or nonparametric. We provide a theoretical framework in which to study the size distorsions of bootstrap P values. We show that, in many circumstances, the size...

This paper discusses ways to reduce the bias of consistent estimators that are biased in finite samples. It is necessary only that the bias function, which relates parameter values to bias, should be estimable by computer simulation or by some other method. If so, bias can be reduced or even...

Recent results of Cribari-Neto and Zarkos show that bootstrap methods can be successfully used to estimate a heteroskedasticity robust covariance matrix estimator. We show that their bootstrap estimator can be calculated directly, without bootstrapping, and that inference based on it may not be...

A unit root test is usually carried out by using the regression test introduced by Dickey and Fuller (1979). Under the null hypothesis the series should be a random walk. But a non-stationary series can usually be decomposed into a random walk and a stationary component. This is what is done in...