QED Working Paper Number
1240

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on real valued parameters, d and b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of these parameters, the choice of model specification for the response surface regressions used to obtain the numerical distribution functions is more involved than is usually the case. We deal with model uncertainty by model averaging rather than by model selection. We make available a computer program which, given the dimension of the problem, q, and values of d and b, provides either a set of critical values or the asymptotic P value for any value of the likelihood ratio statistic.

JEL Codes
Keywords
cofractional process
fractional unit root
fractional cointegration
response surface regression
cointegration rank
numerical CDF
model averaging
Working Paper