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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Trenkler, Carsten | en |
dc.date.accessioned | 2009-01-29T14:54:25Z | - |
dc.date.available | 2009-01-29T14:54:25Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/22210 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt-Universität zu Berlin, Center for Applied Statistics and Economics (CASE) |cBerlin | en |
dc.relation.ispartofseries | |aPapers |x2004,37 | en |
dc.subject.jel | C15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | p-values | en |
dc.subject.keyword | systems cointegration tests | en |
dc.subject.keyword | response surface | en |
dc.title | Determining p-values for Systems Cointegration Tests With a Prior Adjustment for Deterministic Terms | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 495308668 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:caseps:200437 | en |
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