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Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests
Gregory, Allan W.
;
Hansen, Bruce E.
1992
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Title
Approximate Asymptotic Distribution Functions for Unit Roots and Cointegration Tests
Keywords
level shift
;
regime shift
;
cointegration
;
Brownian motion
Author(s)
Gregory, Allan W.
Hansen, Bruce E.
Subject(s)
Demand and Price Analysis
Financial Economics
Issue Date
1992-11
Publication Type
Working or Discussion Paper
DOI and Other Identifiers
10.22004/ag.econ.273256
Record Identifier
https://ageconsearch.umn.edu/record/273256
Language
English
Total Pages
50
JEL Codes
C12
C15
C22
C52
Series Statement
Working Paper No. 862
Record Appears in
Queen's University - Department of Economics
>
Queen's Economics Department Working Papers
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