Optimal Inference in Regression Models with Nearly Integrated Regressors

Michael Jansson, Marcelo J. Moreira

Type: Article

Publication Date: 2004-01-01

Citations: 27

DOI: https://doi.org/10.2139/ssrn.617357

Abstract

This paper considers the problem of conducting inference on the regression coeffcient 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.

Locations

SSRN Electronic Journal - View
RePEc: Research Papers in Economics - View - PDF

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