Approximations to the Asymptotic Distribution of Cointegration Tests.
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 approxim...
Κύριος συγγραφέας: | Doornik, J |
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Άλλοι συγγραφείς: | McAleer, M |
Μορφή: | Book section |
Γλώσσα: | English |
Έκδοση: |
Blackwell Publ.
1999
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Παρόμοια τεκμήρια
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Approximations to the Asymptotic Distributions of Cointegration Tests.
ανά: Doornik, J
Έκδοση: (1998) -
Approximations to the Asymptotic Distribution of Cointegration Tests.
ανά: Doornik, J
Έκδοση: (1998) -
Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.
ανά: Boswijk, H, κ.ά.
Έκδοση: (1999) -
Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors.
ανά: Boswijk, H, κ.ά.
Έκδοση: (2005) -
Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview.
ανά: Boswijk, H, κ.ά.
Έκδοση: (2004)