A new approach to robust inference in cointegration

A new approach to robust inference in cointegration

A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.

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Bibliographic Details
Main Authors: JIN, Sainan, PHILLIPS, Peter, SUN, Yixiao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Cointegration
HAC estimation
Robust inference
Steep origin kernel
Fully modified estimation
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/1981
https://ink.library.smu.edu.sg/context/soe_research/article/2980/viewcontent/cointegration19.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1981
https://ink.library.smu.edu.sg/context/soe_research/article/2980/viewcontent/cointegration19.pdf

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