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...
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| Формат: | Book section |
| Мова: | English |
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Blackwell Publ.
1999
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Approximations to the Asymptotic Distribution of Cointegration Tests.
Опубліковано 1998
Journal article