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Approximations To The Asymptotic Distributions Of Cointegration Tests

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  • Jurgen A. Doornik

Abstract

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.

Suggested Citation

  • Jurgen A. Doornik, 1998. "Approximations To The Asymptotic Distributions Of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-593, December.
    • Handle: RePEc:bla:jecsur:v:12:y:1998:i:5:p:573-593
    DOI: 10.1111/1467-6419.00068
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