[R] Cointegration critical value tables
statquant2
statquant at gmail.com
Mon Jan 16 17:10:55 CET 2012
Hello all,
I am looking for complete table of critical values for cointegration unit
root test as given in
Engle and Yoo [ 1987]
Ouliaris et al. [1989]
MacKinnon [1991]
I usually find 1-5-10% values but no complete table.
Would anybody have a source or monte-carlo code implementing this?
Regards
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