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Distribution approximations for cointegration tests with stationary exogenous regressors
Boswijk, Herman Peter; Doornik, Jurgen A. - 1999
The distribution of a functional of two correlated vector Brownian motions isapproximated 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...
Persistent link: https://www.econbiz.de/10011300548
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Distribution approximations for cointegration tests with stationary exogenous regressors
Boswijk, Herman Peter; Doornik, Jurgen A. - In: Journal of applied econometrics 20 (2005) 6, pp. 797-810
Persistent link: https://www.econbiz.de/10003168945
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Multimodality in the GARCH regression model
Doornik, Jurgen A. (contributor); Ooms, Marius (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001834974
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Parallel computation in econometrics : a simplified approach
Doornik, Jurgen A. (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002124438
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Approximations to the asymptotic distributions of cointegration tests
Doornik, Jurgen A. - In: Journal of economic surveys 12 (1998) 5, pp. 573-593
Persistent link: https://www.econbiz.de/10001400863
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Accelerated estimation of switching algorithms : the cointegrated VAR model and other applications
Doornik, Jurgen A. - 2017
Persistent link: https://www.econbiz.de/10011882272
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Approximations to the asymptotic distributions of cointegration tests
Doornik, Jurgen A. - In: Practical issues in cointegration analysis, (pp. 157-177). 1999
Persistent link: https://www.econbiz.de/10001550935
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Encompassing and automatic model selection
Doornik, Jurgen A. - In: Oxford bulletin of economics and statistics 70 (2008), pp. 915-925
Persistent link: https://www.econbiz.de/10003787681
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Autometrics
Doornik, Jurgen A. - In: The methodology and practice of econometrics : a …, (pp. 88-121). 2009
Persistent link: https://www.econbiz.de/10003857835
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A Markov-switching model with component structure for US GNP
Doornik, Jurgen A. - In: Economics letters 118 (2013) 2, pp. 265-268
Persistent link: https://www.econbiz.de/10009706797