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Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms

Carsten Trenkler ()

No 2004,37, Papers from Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)

Abstract: In this paper I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lütkepohl, Saikkonen & Trenkler (2004), Saikkonen & Lütkepohl (2000a, 2000b, 2000c), and Saikkonen & Luukkonen (1997). The asymptotic distributions are approximated by the Gamma distribution and the parameters necessary to fit the Gamma distributions are obtained from response surfaces which I describe in this paper. The approximation can be easily used to derive arbitrary p-values or percentiles.

Keywords: p-values; systems cointegration tests; response surface (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Date: 2004
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