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Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors

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  • Bunzel, Helle

Abstract

This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.

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File URL: http://www.econ.iastate.edu/sites/default/files/publications/papers/paper_10685_03024.pdf
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Bibliographic Info

Paper provided by Iowa State University, Department of Economics in its series Staff General Research Papers with number 10685.

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Date of creation: 19 Aug 2003
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Publication status: Published in Econometric Theory, August 2006, vol. 22 no. 4, pp. 743-756
Handle: RePEc:isu:genres:10685

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Postal: Iowa State University, Dept. of Economics, 260 Heady Hall, Ames, IA 50011-1070
Phone: +1 515.294.6741
Fax: +1 515.294.0221
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Web page: http://www.econ.iastate.edu
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  18. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
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Cited by:
  1. Vogelsang, Timothy J. & Wagner, Martin, 2011. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Economics Series 263, Institute for Advanced Studies.

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