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Efficient Detrending In Cointegrating Regression

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  • Xiao, Zhijie
  • Phillips, Peter C.B.

Abstract

This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to infinity.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 15 (1999)
Issue (Month): 04 (August)
Pages: 519-548

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Handle: RePEc:cup:etheor:v:15:y:1999:i:04:p:519-548_15

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Cited by:
  1. Moon, Hyungsik & Phillips, Peter C.B., 1999. "Maximum Likelihood Estimation in Panels with Incidental Trends," University of California at Santa Barbara, Economics Working Paper Series qt3f55r5mj, Department of Economics, UC Santa Barbara.
  2. Moon, Hyungsik R. & Phillips, Peter C.B., 1999. "Estimation of Autoregressive Roots near Unity using Panel Data," University of California at Santa Barbara, Economics Working Paper Series qt7fd8x80m, Department of Economics, UC Santa Barbara.
  3. Xiao, Zhijie, 2004. "Estimating average economic growth in time series data with persistency," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 699-724, December.
  4. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
  5. H. Peter Boswijk & Michael Jansson & Morten Orregaard Nielsen, 2012. "Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model," Working Papers 1297, Queen's University, Department of Economics.
  6. Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
  7. Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.

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