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Optimal Inference in Regression Models with Nearly Integrated Regressors

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  • Michael Jansson
  • Marcelo J. Moreira

Abstract

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian asymptotic power envelopes are obtained for a class of testing procedures that satisfy a conditionality restriction. In addition, the paper proposes testing procedures that attain these power envelopes whether or not the innovations of the regression model are normally distributed. Copyright The Econometric Society 2006.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2006.00679.x
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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 74 (2006)
Issue (Month): 3 (05)
Pages: 681-714

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Handle: RePEc:ecm:emetrp:v:74:y:2006:i:3:p:681-714

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