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
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (12 p)
Series:	FRB International Finance Discussion Paper ; No. 854
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 2006 erstellt
Other identifiers:	10.2139/ssrn.894272 [DOI]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012733912