The distribution of a functional of two correlated vector Brownian motions isapproximated 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 to both tabulated critical values and simulated p-values.
# 99-013/4 (1999-02-18)
- H. Peter Boswijk, University of Amsterdam; Jurgen A. Doornik, Nuffield College