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MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes "exact" critical values for the Dickey-Fuller and the Engle-Granger cointegration tests from the response surface regressions in MacKinnon, J. (1991), "Critical Values for Cointegration Tests", Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger, eds. London: Oxford University Press.

Suggested Citation

  • Tom Doan, "undated". "MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests," Statistical Software Components RTS00114, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00114
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/mackinnoncv.src
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    Keywords

    Unit root tests; RATS;

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