fracdist

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.