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Approximations to the Asymptotic Distribution of Cointegration Tests.

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.

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APA Style

Doornik, J. (1999). Approximations to the Asymptotic Distribution of Cointegration Tests. In M. McAleer & L. Oxley (Eds.), Practical Issues in Cointegration Analysis. Blackwell Publ.

MLA Style

Doornik, J. “Approximations to the Asymptotic Distribution of Cointegration Tests.” Practical Issues in Cointegration Analysis, edited by M McAleer and L Oxley, Blackwell Publ., 1999.

Chicago Style

Doornik, J. 1999. “Approximations to the Asymptotic Distribution of Cointegration Tests.” In Practical Issues in Cointegration Analysis, edited by M McAleer and L Oxley. Blackwell Publ.
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Files:: coigamma_tables.pdf

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+ Doornik, J More by this author

Role:: Author

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Role:: Editor

Role:: Editor

Publisher:: Blackwell Publ.
Host title:: Practical Issues in Cointegration Analysis
Place of publication:: Oxford
Publication date:: 1999-12-01
ISBN:: 978-0-631-21198-3

Language:: English
UUID:: uuid:aee60dd0-589f-45fd-a84d-4047f4f79b0c
Local pid:: oai:economics.ouls.ox.ac.uk:14747
Deposit date:: 2011-08-16

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Copyright date:: 1999

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

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