[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

--
View this message in context: http://r.789695.n4.nabble.com/Cointegration-critical-value-tables-tp4299986p4299986.html
Sent from the R help mailing list archive at Nabble.com.



More information about the R-help mailing list