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A new approach to robust inference in cointegration

  • Jin, Sainan
  • Phillips, Peter C.B.
  • Sun, Yixiao

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://www.sciencedirect.com/science/article/B6V84-4JT3RXF-5/2/62163d54608595c165fc8327e8d05a16
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 91 (2006)
Issue (Month): 2 (May)
Pages: 300-306

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Handle: RePEc:eee:ecolet:v:91:y:2006:i:2:p:300-306
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
  2. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," Working Papers 05-08, Cornell University, Center for Analytic Economics.
  3. Kiefer, Nicholas M., 2001. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation," Working Papers 01-13, Cornell University, Center for Analytic Economics.
  4. Michael Jansson, 2004. "The Error in Rejection Probability of Simple Autocorrelation Robust Tests," Econometrica, Econometric Society, vol. 72(3), pages 937-946, 05.
  5. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  6. 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.
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