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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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Publisher copy:
10.1002/jae.811

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Journal:
Journal of Applied Econometrics
Volume:
20
Issue:
6
Publication date:
2005-01-01
DOI:
URN:
uuid:7bf8ea40-d0f6-4106-948b-638fcc6a10b0
Local pid:
oai:economics.ouls.ox.ac.uk:14192
Language:
English

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