TY - DATA T1 - distribution-approximations-for-cointegration-tests-with-stationary-exogenous-regressors AU - Boswijk, H. Peter AU - Doornik, Jurgen A. DO - doi:10.15456/jae.2022319.0710138008 AB - The distribution of a functional of two correlated vector-Brownian motions is approximated 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 with both tabulated critical values and simulated p-values. The proposed procedure is applied to a UK model investigating purchasing power parity. ET - 1 PY - 2005 PB - ZBW - Leibniz Informationszentrum Wirtschaft UR - https://journaldata.zbw.eu/dataset/distribution-approximations-for-cointegration-tests-with-stationary-exogenous-regressors ER -