Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
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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- Bent Nielsen, 1995.
"Bartlett correction of the unit root test in autoregressive models,"
11 & 98., Economics Group, Nuffield College, University of Oxford.
- Nielsen, B., 1995. "Bartlett Correction of the Unit Root test in Autoregressive Models," Economics Papers 98, Economics Group, Nuffield College, University of Oxford.
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- Jurgen A. Doornik & David F. Hendry & Bent Nielsen, 1998. "Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
- repec:cup:etheor:v:13:y:1997:i:2:p:149-69 is not listed on IDEAS
- Harbo, Ingrid, et al, 1998. "Asymptotic Inference on Cointegrating Rank in Partial Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 388-399, October.
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- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Anders Rahbek & Rocco Mosconi, 1999. "Cointegration rank inference with stationary regressors in VAR models," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 76-91.
- Abadir, Karim M. & Lucas, Andre, 2000. "Quantiles for t-statistics based on M-estimators of unit roots," Economics Letters, Elsevier, vol. 67(2), pages 131-137, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- 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, vol. 53(1-3), pages 211-244.
- Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April. Full references (including those not matched with items on IDEAS)