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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

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

Accelerated estimation of switching algorithms : the cointegrated VAR model and other applications

Doornik, Jurgen A. - 2017

Persistent link: https://www.econbiz.de/10011882272

Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors

Boswijk, H. 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/10010324642

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

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

Inference in cointegrating models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Practical issues in cointegration analysis, (pp. 117-156). 1999

Persistent link: https://www.econbiz.de/10001550932

Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, H. Peter; Doornik, Jurgen A. - 1999

Persistent link: https://www.econbiz.de/10001365103

Inference in cointegration models : UK M1 revisited

Doornik, Jurgen A.; Hendry, David F.; Nielsen, Bent - In: Journal of economic surveys 12 (1998) 5, pp. 533-572

Persistent link: https://www.econbiz.de/10001400862

Identifying, estimating and testing restricted cointegrated systems : an overview

Boswijk, Herman Peter (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752394

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