Journal article

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.

Abstract:: 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 with both tabulated critical values and simulated p-values. The proposed procedure is applied to a UK model investigating purchasing power parity.

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APA Style

Boswijk, H., & Doornik, J. (2005). Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors. Journal of Applied Econometrics, 20(6), 797–810.

MLA Style

Boswijk, H., and J. Doornik. “Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.” Journal of Applied Econometrics, vol. 20, no. 6, John Wiley & Sons, Ltd., 2005, pp. 797–810.

Chicago Style

Boswijk, H, and J Doornik. 2005. “Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.” Journal of Applied Econometrics 20 (6): 797–810.
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Publisher copy:: 10.1002/jae.811

Authors

+ Boswijk, H More by this author

Role:: Author

+ Doornik, J More by this author

Role:: Author

Publisher:: John Wiley & Sons, Ltd.
Journal:: Journal of Applied Econometrics More from this journal
Volume:: 20
Issue:: 6
Pages:: 797 - 810
Publication date:: 2005-01-01
DOI:: 10.1002/jae.811
ISSN:: 0883-7252

Language:: English
UUID:: uuid:7bf8ea40-d0f6-4106-948b-638fcc6a10b0
Local pid:: oai:economics.ouls.ox.ac.uk:14192
Deposit date:: 2011-08-15

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Copyright date:: 2005

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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