NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS
通过模拟计算分数单位根和协整秩的似然比检验的渐近分布函数，并利用模型平均处理模型不确定性，提供计算临界值或P值的程序。
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 to the presence of this parameter, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by model averaging rather than by model selection. We make available a computer program which, given the dimension of the problem, q , and a value of b , provides either a set of critical values or the asymptotic P ‐value for any value of the likelihood ratio statistic. Copyright © 2012 John Wiley & Sons, Ltd.