fracdist - Numerical CDFs for Fractional Unit Root and Cointegration Tests
Calculate numerical asymptotic distribution functions of
likelihood ratio statistics for fractional unit root tests and
tests of cointegration rank. For these distributions, the
included functions calculate critical values and P-values used
in unit root tests, cointegration tests, and rank tests in the
Fractionally Cointegrated Vector Autoregression (FCVAR) model.
The functions implement procedures for tests described in the
following articles: Johansen, S. and M. Ø. Nielsen (2012)
<doi:10.3982/ECTA9299>, MacKinnon, J. G. and M. Ø. Nielsen
(2014) <doi:10.1002/jae.2295>.
