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Approximations to the asymptotic distributions of cointegration tests

Doornik, Jurgen A. - In: Journal of economic surveys 12 (1998) 5, pp. 573-593

Persistent link: https://www.econbiz.de/10001400863

Approximations to the asymptotic distributions of cointegration tests

Doornik, Jurgen A. - In: Practical issues in cointegration analysis, (pp. 157-177). 1999

Persistent link: https://www.econbiz.de/10001550935

A Markov-switching model with component structure for US GNP

Doornik, Jurgen A. - In: Economics letters 118 (2013) 2, pp. 265-268

Persistent link: https://www.econbiz.de/10009706797

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

Boswijk, H. Peter; Doornik, Jurgen A. - 1999

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...

Persistent link: https://www.econbiz.de/10010324642