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Boswijk, H. Peter
Doornik, Jurgen A.
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 99-013/4
The distribution of a functional of two correlated vector Brownian motions isapproximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both tabulated critical values and simulated p-values.
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Working Paper

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