Distribution approximations for cointegration tests with stationary exogenous regressors
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.
Volume (Year): 20 (2005)
Issue (Month): 6 ()
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