NUMERICAL DISTRIBUTION-FUNCTIONS FOR UNIT-ROOT AND COINTEGRATION TESTS

This paper employs response surface regressions based on simulation ex periments to calculate distribution functions for some well-known unit root and cointegration rest statistics. The principal contributions o f the paper are a set of data files that contain estimated response su rface coefficients and a computer program for utilizing them. This pro gram, which is freely available via the Internet, can easily be used t o calculate both asymptotic and finite-sample critical values and P-va lues for any of the tests. Graphs of some of the tabulated distributio n functions are provided. An empirical example deals with interest rat es and inflation rates in Canada.