Fully modified estimation with nearly integrated regressors
AbstractI show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results.
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Bibliographic InfoArticle provided by Elsevier in its journal Finance Research Letters.
Volume (Year): 4 (2007)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/frl
Other versions of this item:
- Erik Hjalmarsson, 2006. "Fully modified estimation with nearly integrated regressors," International Finance Discussion Papers 854, Board of Governors of the Federal Reserve System (U.S.).
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