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Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

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  • H. Peter Boswijk

    ()
    (University of Amsterdam)

  • Jurgen A. Doornik

    (Nuffield College)

Abstract

The distribution of a functional of two correlated vector Brownian motions isapproximated 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 to both tabulated critical values and simulated p-values.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 99-013/4.

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Date of creation: 18 Feb 1999
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Handle: RePEc:dgr:uvatin:19990013

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  1. Byeongseon, Seo, 1998. "Statistical inference on cointegration rank in error correction models with stationary covariates," Journal of Econometrics, Elsevier, Elsevier, vol. 85(2), pages 339-385, August.
  2. Boswijk, H. Peter & Lucas, Andre, 2002. "Semi-nonparametric cointegration testing," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 253-280, June.
  3. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(02), pages 149-169, April.
  4. Bent Nielsen, 1995. "Bartlett correction of the unit root test in autoregressive models," Economics Papers 11 & 98., Economics Group, Nuffield College, University of Oxford.
  5. Bruce E. Hansen, 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Boston College Working Papers in Economics, Boston College Department of Economics 300., Boston College Department of Economics.
  6. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 54(3), pages 325-48, August.
  7. repec:cup:etheor:v:11:y:1995:i:5:p:1148-71 is not listed on IDEAS
  8. repec:cup:etheor:v:13:y:1997:i:2:p:149-69 is not listed on IDEAS
  9. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, Elsevier, vol. 53(1-3), pages 211-244.
  10. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
  11. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  12. Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 12(5), pages 533-572, December.
  13. Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 2(1), pages 76-91.
  14. Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 16(4), pages 388-99, October.
  15. Jurgen A. Doornik, 1998. "Approximations To The Asymptotic Distributions Of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, Wiley Blackwell, vol. 12(5), pages 573-593, December.
  16. Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, Elsevier, vol. 67(2), pages 131-137, May.
  17. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
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