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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2005
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sg-smu-ink.soe_research-29802017-08-08T09:51:25Z A new approach to robust inference in cointegration JIN, Sainan PHILLIPS, Peter SUN, Yixiao 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. 2005-10-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1981 info:doi/10.1016/j.econlet.2005.12.019 https://ink.library.smu.edu.sg/context/soe_research/article/2980/viewcontent/cointegration19.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Cointegration HAC estimation Robust inference Steep origin kernel Fully modified estimation Econometrics Economic Theory |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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English |
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Cointegration HAC estimation Robust inference Steep origin kernel Fully modified estimation Econometrics Economic Theory |
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Cointegration HAC estimation Robust inference Steep origin kernel Fully modified estimation Econometrics Economic Theory JIN, Sainan PHILLIPS, Peter SUN, Yixiao A new approach to robust inference in cointegration |
| description |
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. |
| format |
text |
| author |
JIN, Sainan PHILLIPS, Peter SUN, Yixiao |
| author_facet |
JIN, Sainan PHILLIPS, Peter SUN, Yixiao |
| author_sort |
JIN, Sainan |
| title |
A new approach to robust inference in cointegration |
| title_short |
A new approach to robust inference in cointegration |
| title_full |
A new approach to robust inference in cointegration |
| title_fullStr |
A new approach to robust inference in cointegration |
| title_full_unstemmed |
A new approach to robust inference in cointegration |
| title_sort |
new approach to robust inference in cointegration |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2005 |
| url |
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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1770573488870916096 |