Robust econometric inference with mixed integrated and mildly explosive regressors

Robust econometric inference with mixed integrated and mildly explosive regressors

This paper explores in several prototypical models a convenient inference procedure for nonstationary variable regression that enables robust chi-square testing for a wide class of persistent and endogenous regressors. The approach uses the mechanism of self-generated instruments called IVX instrume...

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Bibliographic Details
Main Authors: Peter C. B. PHILLIPS, LEE, Ji Hyung
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Chi-square
Instrumentation
IVX methods
Local to unity
Mild integration
Mild explosiveness
Predictive regression
Robustness
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1935
https://ink.library.smu.edu.sg/context/soe_research/article/2934/viewcontent/RobustEconometricInferenceMixedIntegratedMildlyExplosiveRegressors_2014_pp.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1935
https://ink.library.smu.edu.sg/context/soe_research/article/2934/viewcontent/RobustEconometricInferenceMixedIntegratedMildlyExplosiveRegressors_2014_pp.pdf

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