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Title:Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms PDF Logo
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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