H. PETER BOSWIJKa AND JURGEN A. DOORNIK

SUMMARY
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. Copyright  2005
John Wiley & Sons, Ltd