SUMMARY We calculate, by simulations, numerical asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real‐valued parameter b which must be estimated, simple tabulation is not feasible. Partly owing...

We perform an extensive series of Monte Carlo experiments to compare the performance of two variants of the 'jackknife instrumental variables estimator', or JIVE, with that of the more familiar 2SLS and LIML estimators. We find no evidence to suggest that JIVE should ever be used. It is always...