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 1(1), the conditional 1(1), as well as the 1(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approxim...
| المؤلف الرئيسي: | |
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| التنسيق: | Journal article |
| اللغة: | English |
| منشور في: |
Blackwell Publishing
1998
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| الملخص: | The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the 1(1), the conditional 1(1), as well as the 1(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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