Distribution approximations for cointegration tests with stationary exogenous regressors
提出用Gamma分布近似两个相关向量布朗运动泛函的分布，该泛函是含平稳外生回归变量的协整检验的极限分布，方法准确快速，并应用于英国购买力平价模型。
Abstract 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. Copyright © 2005 John Wiley & Sons, Ltd.