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Optimal Inference in Regression Models with Nearly Integrated Regressors

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.
Year of publication:
2004-11
Authors: Jansson, Michael ; Moreira, Marcelo J.
Institutions: National Bureau of Economic Research (NBER)
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
TWP Number 0303
Classification: C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:
Persistent link: https://www.econbiz.de/10005248990
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