Simulations and Tables

Søren Johansen

in Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

Published in print December 1995 | ISBN: 9780198774501
Published online November 2003 | e-ISBN: 9780191596476 | DOI:

Series: Advanced Texts in Econometrics

 							Simulations and Tables

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The functionals obtained as asymptotic distributions are complicated functions of Brownian motion and few explicit results are at present available. The limit distribution of the trace test depends on the number of non‐stationary components. Tables are given by simulation for the limit distributions derived in earlier chapters.

Keywords: Brownian motion; limit distributions; simulation; trace test

Chapter.  2559 words. 

Subjects: Econometrics and Mathematical Economics

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