Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1999-02-18
Number: 99-013/4
Author-Name: H. Peter Boswijk
Author-Email: h.p.boswijk@uva.nl
Author-Workplace-Name: University of Amsterdam
Author-Name: Jurgen A. Doornik
Author-Workplace-Name: Nuffield College
Title: Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
Abstract: 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.
File-Url: https://papers.tinbergen.nl/99013.pdf
File-Format: application/pdf
File-Size: 138529 bytes
Handle: RePEc:tin:wpaper:19990013