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Distribution approximations for cointegration tests with stationary exogenous regressors

Author

Listed:
  • Jurgen A. Doornik

    (Nuffield College, Oxford, UK)

  • H. Peter Boswijk

    (Department of Quantitative Economics, Universiteit van Amsterdam, The Netherlands)

Abstract

The distribution of a functional of two correlated vector-Brownian motions is approximated 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 with both tabulated critical values and simulated p-values. The proposed procedure is applied to a UK model investigating purchasing power parity. Copyright © 2005 John Wiley & Sons, Ltd.

Suggested Citation

  • Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
    • Handle: RePEc:jae:japmet:v:20:y:2005:i:6:p:797-810
    DOI: 10.1002/jae.811
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    References listed on IDEAS

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    3. Juhl, Ted, 2001. "Cointegration analysis using M estimators," Economics Letters, Elsevier, vol. 71(2), pages 149-154, May.
    4. 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.
    5. Óscar Reinaldo Becerra & Luis Fernando Melo Velandia., 2009. "Transmisión de Tasas de Interés bajo el Esquema de Metas de Inflación: Evidencia para Colombia," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 107-134.
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