Distribution approximations for cointegration tests with stationary exogenous regressors

H. Peter Boswijk · Jurgen A. Doornik

29 citations0/0 files storedJournal of Applied Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

Abstract The distribution of a functional of two correlated vector‐Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non‐Gaussian likelihood. The approximation is accurate, fast and easy to use in comparison with both tabulated critical values and simulated p‐values. The proposed procedure is applied to a UK model investigating purchasing power parity. Copyright © 2005 John Wiley & Sons, Ltd.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 29 citations exist upstream.

References

1988Statistical analysis of cointegration vectors 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1999Numerical distribution functions of likelihood ratio tests for cointegration 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK 1992THE POWER OF COINTEGRATION TESTS 1995Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power 1998APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS

Cited by

2021Energy consumption and economic growth in Italy: A wavelet analysis 2000Testing for a Unit Root with Near-Integrated Volatility 2007Detecting Long Memory Co-Movements in Macroeconomic Time Series 2003An Examination of the Asymmetric Effects of Money Supply Shocks in the Pre–World War I and Interwar Periods 2019Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.