Numerical distribution functions for unit root and cointegration tests
通过模拟实验计算单位根和协整检验统计量的分布函数，提供响应面系数数据文件和计算程序，可计算渐近和有限样本临界值与P值，并以加拿大利率和通胀率为例。
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical values and P-values for any of the tests. Graphs of some of the tabulated distribution functions are provided. An empirical example deals with interest rates and inflation rates in Canada.