@techreport{Trenkler2004Determining,
abstract = {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 L\"{u}tkepohl, Saikkonen & Trenkler (2004), Saikkonen & L\"{u}tkepohl (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.},
author = {Carsten Trenkler},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15; 330; p-values; systems cointegration tests; response surface},
language = {eng},
number = {2004,37},
title = {Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms},
type = {Papers / Humboldt-Universit\"{a}t Berlin, Center for Applied Statistics and Economics (CASE)},
url = {http://hdl.handle.net/10419/22210},
year = {2004}
}
