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...
| 第一著者: | |
|---|---|
| その他の著者: | |
| フォーマット: | Book section |
| 言語: | English |
| 出版事項: |
Blackwell Publ.
1999
|