Numerical distribution functions of likelihood ratio tests for cointegration

This paper employs response surface regressions based on simulation experim ents to calculate asymptotic distribution functions for the Johansen-type l ikelihood ratio tests for cointegration. These are carried out in the conte xt of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. T he paper calculates critical values that are very much more accurate than t hose available previously. The principal contributions of the paper are a s et of data files that contain estimated asymptotic quantiles obtained from response surface estimation and a computer program for utilizing them. This program, which is freely available via the Internet, can be used to calcul ate both asymptotic critical values and P-values. Copyright (C) 1999 John W iley & Sons, Ltd.