Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests
通过蒙特卡洛实验和响应面回归，为多个常用单位根和协整检验统计量计算近似渐近分布函数，使实证研究者能计算这些检验的近似P值。
This article uses Monte Carlo experiments and response surface regressions in a novel way to calculate approximate asymptotic distribution functions for several well-known unit-root and cointegration test statistics. These allow empirical workers to calculate approximate P values for these tests. The results of the article are based on an extensive set of Monte Carlo experiments, which yield finite-sample quantiles for several sample sizes. Based on these, response surface regressions are used to obtain asymptotic quantiles for many different test sizes. Then approximate distribution functions with simple functional forms are estimated from these asymptotic quantiles.