A new approach to robust inference in cointegration

• 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
• Institution: Singapore Management University

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.