Fully modified estimation with nearly integrated regressors

I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results.

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Year of publication:	2006
Authors:	Hjalmarsson, Erik
Institutions:	Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject:	Regression analysis

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Extent:	text/html application/pdf
Series:	International Finance Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 854
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005712812