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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2005
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| Subjects: | |
| 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 |