Response surfaces for an F-test for cointegration

Abstract

This study builds on earlier work by Kanioura and Turner (2005) in generating response surfaces for critical values for an F-test for cointegration based on an error-correction relationship between a set of variables of interest. It also builds on work by Pesaran et al . (2001) in generating response surfaces for the critical bounds of this test generated by the possibility that there are cointegrating relationships between the variables on the right hand side of the error-correction equation.