Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22210 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorTrenkler, Carstenen
dc.date.accessioned2009-01-29T14:54:25Z-
dc.date.available2009-01-29T14:54:25Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aHumboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE) |cBerlinen
dc.relation.ispartofseries|aPapers |x2004,37en
dc.subject.jelC15en
dc.subject.ddc330en
dc.subject.keywordp-valuesen
dc.subject.keywordsystems cointegration testsen
dc.subject.keywordresponse surfaceen
dc.titleDetermining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms-
dc.typeWorking Paperen
dc.identifier.ppn495308668en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:caseps:200437en

Files in This Item:
File
Size
181.04 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.