Approximations to the Asymptotic Distributions of Cointegration Tests

C-Tier
Journal: Journal of Economic Surveys
Year: 1998
Volume: 12
Issue: 5
Pages: 573-593

Score contribution per author:

1.009 = (α=2.02 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:bla:jecsur:v:12:y:1998:i:5:p:573-593
Journal Field
General
Author Count
1
Added to Database
2026-01-25