Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22210
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dc.contributor.authorTrenkler, Carstenen_US
dc.date.accessioned2009-01-29T14:54:25Z-
dc.date.available2009-01-29T14:54:25Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22210-
dc.description.abstractIn 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.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aPapers / Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) |x2004,37en_US
dc.subject.jelC15en_US
dc.subject.ddc330en_US
dc.subject.keywordp-valuesen_US
dc.subject.keywordsystems cointegration testsen_US
dc.subject.keywordresponse surfaceen_US
dc.titleDetermining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Termsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn495308668en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:caseps:200437-

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