Doornik, Jurgen A.; Boswijk, H. Peter - In: Journal of Applied Econometrics 20 (2005) 6, pp. 797-810
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...
