APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS

APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Surveys Wiley

APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS

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Publisher
Wiley
Copyright
Blackwell Publishers Ltd. 1998
ISSN
0950-0804
eISSN
1467-6419
D.O.I.
10.1111/1467-6419.00068
Publisher site
See Article on Publisher Site

Abstract

The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published.

Journal

Journal of Economic SurveysWiley

Published: Dec 1, 1998

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