Approximations to the Asymptotic Distribution of Cointegration Tests.

Approximations to the Asymptotic Distribution of Cointegration Tests.

Бусад хувилбаруудыг харуулах (1)

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...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй
Үндсэн зохиолч:	Doornik, J
Бусад зохиолчид:	McAleer, M
Формат:	Book section
Хэл сонгох:	English
Хэвлэсэн:	Blackwell Publ. 1999

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