Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

H. Peter Boswijk () and Jurgen Doornik

No 99-013/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

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.

Date: 1999-02-18
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Journal Article: Distribution approximations for cointegration tests with stationary exogenous regressors (2005)
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