James G. MacKinnon, Alfred Haug, and Leo Michelis, "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration", Journal of Applied Econometrics, Vol. 14, No. 5, 1999, pp. 563-577. The RePEc link to this paper is wrong. The correct link is: http://www3.interscience.wiley.com/journal/66001312/abstract There are three zip files: mhm-tabs.zip, mhm-progs-unix.zip, and mhm-progs-win.zip. The file mhm-tabs.zip contains all the tables needed by the programs that compute critical values and P values. On a Unix or Linux system, these should, if possible, be put in the directory /usr/local/urcdist. On a Windows system, they should be put in the directory C:\URCDIST. The tables files were in DOS format (with CR/LF at line ends) when they were zipped. To unzip them on a Linux/Unix system, use "unzip -a mhm-tabs.zip". This will convert them to Unix format. No conversion should be necessary on a Windows system. The file mhm-progs-unix.zip contains three files of Fortran source code: lrcdist.f, lrcrouts.f, and johrouts.f. It should be possible to compile them with any reasonably modern F77 or F90 compiler. The file lrcdist.f contains a program that is intended to be used interactively. The other two files contain subroutines that are intended to be called by other programs. The file mhm-progs-win.zip contains three files. lrcdist.for is a slightly modified version of lrcdist.f. lrcdist.exe and lrcdist-g95.exe are both executables for Windows that must be run from the command line. The former was compiled using GFortran and the latter using G95 on a machine running Windows 7. It appears that lrcdist-g95.exe does not work on 64-bit Windows 7, while lrcdist.exe does work. The default location for the .tab files is C:\URCDIST. Note: The errors that were discovered on 2001-1-08 and 2003-5-05 have now been corrected in all source and executable files. These errors caused minor discrepancies in P values and critical values in some cases. James G. MacKinnon Department of Economics phone: 613 533-2293 Queen's University Fax: 613 533-2257 Kingston, Ontario, Canada Email: jgm econ.queensu.ca K7L 3N6 Home Page: http://www.econ.queensu.ca/pub/faculty/mackinnon/