Arbeitspapier
Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Papers ; No. 2004,37
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
- Thema
-
p-values
systems cointegration tests
response surface
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Trenkler, Carsten
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
- (wo)
-
Berlin
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Trenkler, Carsten
- Humboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE)
Entstanden
- 2004
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