Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22210
Authors: 
Trenkler, Carsten
Year of Publication: 
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

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