This is for instance useful in connection
with the limit distributions of tests for cointegration rank. Those
distributions are non-standard, but approximated rather well by Gamma
distributions, see Nielsen (*Biometrika* 1997) and
Doornik
(*Journal
of Economic Surveys * 1998). Doornik (1998) gives response surfaces for
mean and variance of the cointegration distributions for a wide range of
cointegration tests.

The numerical routine is based on various different approximations
dependent on the value of parameters: The Wilson-Hilferty approximation
(Johnson,
Kotz, Balakrishnan: * Continuous univariate distributions * vol. 1,
2nd ed. 1994, p. 426), the continued fraction expansion, the asymptotic
expansion, and the series development
(Abramowitz and Stegun * Handbook of mathematical functions * Dover,
1965, p. 262). Further documentation is given in the Turbo pascal
source code
which is freely available.