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...
| Hoofdauteur: | |
|---|---|
| Formaat: | Journal article |
| Taal: | English |
| Gepubliceerd in: |
Blackwell Publishing
1998
|
| _version_ | 1826262141967007744 |
|---|---|
| author | Doornik, J |
| author_facet | Doornik, J |
| author_sort | Doornik, J |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T19:31:42Z |
| format | Journal article |
| id | oxford-uuid:1dae377f-59ce-458b-abe8-64774f7262e0 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T19:31:42Z |
| publishDate | 1998 |
| publisher | Blackwell Publishing |
| record_format | dspace |
| spelling | oxford-uuid:1dae377f-59ce-458b-abe8-64774f7262e02022-03-26T11:12:15ZApproximations to the Asymptotic Distributions of Cointegration Tests.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:1dae377f-59ce-458b-abe8-64774f7262e0EnglishDepartment of Economics - ePrintsBlackwell Publishing1998Doornik, JThe 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. |
| spellingShingle | Doornik, J Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title | Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title_full | Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title_fullStr | Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title_full_unstemmed | Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title_short | Approximations to the Asymptotic Distributions of Cointegration Tests. |
| title_sort | approximations to the asymptotic distributions of cointegration tests |
| work_keys_str_mv | AT doornikj approximationstotheasymptoticdistributionsofcointegrationtests |