Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption
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Kostov, Phillip and Lingard, John (2004) Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption. Working Paper. Philip Kostov. (Unpublished)
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Official URL: http://ideas.repec.org/p/wpa/wuwpem/0409007.html
Abstract
The asymptotic distributions of cointegration tests are approximated using the Gamma distribution. The tests considered are for the I(1), the conditional I(1), as well as the I(2) model. Formulae for the parameters of the Gamma distributions are derived from response surfaces. The resulting approximation is flexible, easy to implement and more accurate than the standard tables previously published.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HA Statistics |
| Schools: | Lancashire Business School |
| ID Code: | 1430 |
| Deposited By: | Phillip Kostov |
| Deposited On: | 25 Jan 2011 11:38 |
| Last Modified: | 22 Sep 2011 12:11 |
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