Numerical CDFs for Fractional Unit Root and Cointegration Tests
Description
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. <98>. Nielsen (2012) ,
MacKinnon, J. G. and M. <98>. Nielsen (2014) .