Approximations to the Asymptotic Distributions of Cointegration Tests
Approximations to the Asymptotic Distributions of Cointegration Tests
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协整检验渐近分布的近似
DOI：
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发表时间：
1998
期刊：
影响因子：
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通讯作者：
J. Doornik
中科院分区：
文献类型：
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作者：
J. Doornik
协整检验的渐近分布近似使用伽玛分布。所考虑的检验是针对I（1）、条件I（1）以及I（2）模型的。伽玛分布的参数公式来自响应面。由此产生的近似值是灵活的，易于实施，更准确地比以前公布的标准表。
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.