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| Title: | | Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms  |
| Authors: | | Trenkler, Carsten |
| Issue Date: | | 2004 |
| Series/Report no.: | | Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,37 |
| 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 Lütkepohl, Saikkonen & Trenkler (2004), Saikkonen & Lütkepohl (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. |
| Subjects: | | p-values systems cointegration tests response surface |
| JEL: | | C15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Papers, CASE - Center for Applied Statistics and Economics, HU Berlin
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