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....
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Tinbergen Institute
1999
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