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.
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Boswijk et al. (2005) studied this question.
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