APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS

Jurgen A. Doornik

249 citations0/0 files storedJournal of Economic Surveys

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

Abstract

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 approximation is flexible, easy to implement and more accurate than the standard tables previously published.

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References

1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2010Critical Values for Cointegration Tests 1999Numerical distribution functions of likelihood ratio tests for cointegration 1997Approximate Asymptotic P Values for StructuraS-Change Tests 1991Modeling the demand for narrow money in the United Kingdom and the United States

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