Approximations to the Asymptotic Distribution of Cointegration Tests.

Approximations to the Asymptotic Distribution of Cointegration Tests.

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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...

書目詳細資料
主要作者:	Doornik, J
其他作者:	McAleer, M
格式:	Book section
語言:	English
出版:	Blackwell Publ. 1999

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