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Optimal Inference in Regression Models with Nearly Integrated Regressors

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Author Info
Michael Jansson
Marcelo J. Moreira

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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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Publisher 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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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Wright, Jonathan H, 2000. "Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 211-22, April.
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," ECARES Working Papers 2009_001, Université Libre de Bruxelles, Ecares. [Downloadable!]
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  2. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, Göteborg University, Department of Economics. [Downloadable!]
  3. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  4. Elena Pesavento, 2006. "Near-Optimal Unit Root Tests with Stationary Covariates with Better Finite Sample Size," Economics Working Papers ECO2006/18, European University Institute. [Downloadable!]
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  5. Pástor, Luboš & Stambaugh, Robert F, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  6. repec:bep:sndecm:11:2007:1:1376-1376 is not listed on IDEAS
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  7. Erik Hjalmarsson, 2006. "Predictive regressions with panel data," International Finance Discussion Papers 869, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  9. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  10. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  11. Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based orthogonality tests for regressors with unknown persistence," Working Papers 1122, Queen's University, Department of Economics. [Downloadable!]
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  12. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, Göteborg University, Department of Economics. [Downloadable!]
  14. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
  15. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation, Yale University. [Downloadable!]
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