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A New Approach to Robust Inference in Cointegration

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Author Info
Sainan Jin (Guanghua School of Management, Peking University)
Peter C.B. Phillips () (Cowles Foundation, Yale University, University of Auckland and University of York)
Yixiao Sun (Dept. of Economics, University of California, San Diego)

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Abstract

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. The present contribution makes use of steep origin kernels which are obtained by exponentiating traditional quadratic kernels. Simulations indicate that tests based on these methods have improved size properties relative to conventional tests and better power properties than other tests that use Bartlett or other traditional kernels with no truncation.

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File URL: http://cowles.econ.yale.edu/P/cd/d15a/d1538.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1538.

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Length: 15 pages
Date of creation: Oct 2005
Date of revision:
Publication status: Published in Economics Letters (May 2006), 91(2): 300-306
Handle: RePEc:cwl:cwldpp:1538

Note: CFP 1203.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Cointegration; HAC estimation; long-run covariance matrix; robust inference; steep origin kernel; fully modified estimation;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
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. Michael Jansson, 2004. "The Error in Rejection Probability of Simple Autocorrelation Robust Tests," Econometrica, Econometric Society, vol. 72(3), pages 937-946, 05. [Downloadable!] (restricted)
  2. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation, Yale University. [Downloadable!]
  3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May. [Downloadable!] (restricted)
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  4. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2002. "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1350-1366, December. [Downloadable!]
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This page was last updated on 2009-11-12.

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