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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22210
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Trenkler, Carsten | | en_US |
| dc.date.accessioned | | 2009-01-29T14:54:25Z | | - |
| dc.date.available | | 2009-01-29T14:54:25Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22210 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Papers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,37 | | en_US |
| dc.subject.jel | | C15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | p-values | | en_US |
| dc.subject.keyword | | systems cointegration tests | | en_US |
| dc.subject.keyword | | response surface | | en_US |
| dc.title | | Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 495308668 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:caseps:200437 | | - |
| Appears in Collections: | | Papers, CASE - Center for Applied Statistics and Economics, HU Berlin
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