Distribution approximations for cointegration tests with stationary exogenous regressors

H. Peter Boswijk; Jurgen A. Doornik

The distribution of a functional of two correlated vector Brownian motions isapproximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both tabulated critical values and simulated p-values.

Year of publication:	1999
Authors:	Boswijk, Herman Peter ; Doornik, Jurgen A.
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	Kointegration \| Cointegration \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis

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