论文信息 - Approximations to the Asymptotic Distributions of Cointegration Tests

Approximations to the Asymptotic Distributions of Cointegration Tests

The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published.

J. Doornik | Jurgen Doornik

[1] J. Doornik,et al. Inference in Cointegrating Models: UK M1 Revisited , 1998 .

[2] David F. Hendry,et al. Modeling the demand for narrow money in the United Kingdom and the United States , 1991 .

[3] S. Johansen. STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .

[4] Paolo Paruolo,et al. ON THE DETERMINATION OF INTEGRATION INDICES IN I(2) SYSTEMS , 1996 .

[5] B. Hansen. Approximate Asymptotic P Values for Structural-Change Tests , 1997 .

[6] Graham Elliott. TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY , 1998, Econometric Theory.

[7] Søren Johansen,et al. A Stastistical Analysis of Cointegration for I(2) Variables , 1995, Econometric Theory.

[8] K. Abadir. The Limiting Distribution of the t Ratio Under a Unit Root , 1995, Econometric Theory.

[9] James G. MacKinnon,et al. Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration , 1996 .

[10] Hans Christian Kongsted,et al. Trend stationarity in the I(2) cointegration model , 1999 .

[11] James G. MacKinnon,et al. Critical Values for Cointegration Tests , 1990 .

[12] B. Nielsen. Bartlett correction of the unit root test in autoregressive models , 1995 .

[13] S. Johansen,et al. Asymptotic Inference on Cointegrating Rank in Partial Systems , 1998 .

[14] E. S. Pearson. Biometrika tables for statisticians , 1967 .