Resource title

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

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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.

Resource author

Carsten Trenkler

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Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22210

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Adapt according to the presented license agreement and reference the original author.