Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

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.

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Year of publication:	1999
Authors:	Boswijk, H. Peter ; Doornik, Jurgen A.
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Schätztheorie \| Kointegration \| Regression \| Theorie

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Series:	Tinbergen Institute Discussion Paper ; 99-013/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	832398225 [GVK] hdl:10419/85669 [Handle] RePEc:dgr:uvatin:19990013 [RePEc]
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010324642