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 InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 854.
Date of creation: 2006
Date of revision:
Other versions of this item:
- Hjalmarsson, Erik, 2007. "Fully modified estimation with nearly integrated regressors," Finance Research Letters, Elsevier, vol. 4(2), pages 92-94, June.
- NEP-ALL-2006-04-29 (All new papers)
- NEP-ECM-2006-04-29 (Econometrics)
- NEP-ETS-2006-04-29 (Econometric Time Series)
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