Dataset - ZBW Journal Data Archive

H. Peter Boswijk
;
Jurgen A. Doornik

Distribution approximations for cointegration tests with stationary exogenous...

The distribution of a functional of two correlated vector-Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for...

DOI:10.15456/jae.2022319.0710138008
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