Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.
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....
| Główni autorzy: | , |
|---|---|
| Format: | Journal article |
| Język: | English |
| Wydane: |
John Wiley & Sons, Ltd.
2005
|