Econometrica Vol. 65 No. 3 1997

Two Mixed Normal Densities from Cointegration Analysis

Karim M. Abadir^1,2; Paolo Paruolo³

¹ Imperial Valley College · ² Imperial College of Business Studies · ³ European Commission

Abstract

We derive explicitly the exact density functions of two key mixed normal variates that arise from cointegration analysis. We also plot them, and analyze their analytical features and implications.

DOI

10.2307/2171758

Volume

65

Issue

3

Pages

671

Sources

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