Cover Image

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

The distribution of a functional of two correlated vector Brownian motions is approximated 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:
1999-02-18
Authors: Boswijk, H. Peter ; Doornik, Jurgen A.
Institutions: Tinbergen Institute
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 99-013/4
Source:
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005281969
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