Asymptotic tables for cointegration tests based on the Gamma-distribution approximation
Jurgen A.Doornik
Nuffield College,University of Oxford
June26,2003
These tables were generated using ox/,which implements the Gamma-distribution approximation of Doornik(1998).
Tables1–5replace Tables15.1–15.5in Johansen(1995).
Tables11–13replace Tables4,3,2in:Harbo,Johansen,Nielsen,and Rahbek (1998).
Table14replaces Table4in Rahbek,Kongsted,and Jørgensen(1999). References
Doornik,J.A.(1998).Approximations to the asymptotic distribution of cointe-gration tests.Journal of Economic Surveys12,573–593.
Harbo,I.,S.Johansen,B.Nielsen,and A.Rahbek(1998).Asymptotic inference on cointegrating rank in partial
systems.Journal of Business and Economic Statistics16,388–399.
Johansen,S.(1995).Likelihood-based Inference in Cointegrated Vector Autore-gressive Models.Oxford:Oxford University Press.
Rahbek,A.,H.C.Kongsted,and C.Jørgensen(1999).Trend-stationarity in the I(2)cointegration model.Journal of Econometrics90,265–289.
Table1:Asymptotic quantiles of Trace test for H z
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0%
Generated from ox/,see Doornik(1998)
Table2:Asymptotic quantiles of Trace test for H c
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
lc
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
Table4:Asymptotic quantiles of Trace test for H l
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
ql
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
Table6:Asymptotic quantiles of Max test for H z中策轮胎
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
c
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
Table8:Asymptotic quantiles of Max test for H lc
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
l
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)
Table10:Asymptotic quantiles of Max test for H ql
p−r50.0%75.0%80.0%85.0%90.0%95.0%97.5%99.0% Generated from ox/,see Doornik(1998)