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Robust estimation for structural spurious regressions and a Hausman-type cointegration test

  • Choi, Chi-Young
  • Hu, Ling
  • Ogaki, Masao

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 142 (2008)
Issue (Month): 1 (January)
Pages: 327-351

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Handle: RePEc:eee:econom:v:142:y:2008:i:1:p:327-351
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Ogaki, M. & Park, Y.Y., 1989. "A Cointegration Approach To Estimating Preference Parameters," RCER Working Papers 209, University of Rochester - Center for Economic Research (RCER).
  2. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  3. Phillips, Peter C.B. & Hodgson, Douglas J., 1994. "Spurious Regression and Generalized Least Squares," Econometric Theory, Cambridge University Press, vol. 10(05), pages 967-968, December.
  4. Engel, C., 1996. "Accounting for U.S. Real Exchange Rate Changes," Discussion Papers in Economics at the University of Washington 96-02, Department of Economics at the University of Washington.
  5. Steven N. Durlauf & Danny T. Quah, 1998. "The New Empirics of Economic Growth," NBER Working Papers 6422, National Bureau of Economic Research, Inc.
  6. Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004. "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers ysm426, Yale School of Management.
  7. Steven N. Durlauf & Peter C.B. Phillips, 1986. "Trends Versus Random Walks in Time Series Analysis," Cowles Foundation Discussion Papers 788, Cowles Foundation for Research in Economics, Yale University.
  8. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
  9. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  10. Easterly, William, 2001. " The Middle Class Consensus and Economic Development," Journal of Economic Growth, Springer, vol. 6(4), pages 317-35, December.
  11. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  12. Alan C. Stockman & Linda L. Tesar, 1990. "Tastes and Technology in a Two-Country Model of the Business Cycle: Explaining International Comovements," NBER Working Papers 3566, National Bureau of Economic Research, Inc.
  13. Peter C.B. Phillips, 1987. "Partially Identified Econometric Models," Cowles Foundation Discussion Papers 845R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1988.
  14. de Jong, Robert M. & Davidson, James, 2000. "The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals I," Econometric Theory, Cambridge University Press, vol. 16(05), pages 621-642, October.
  15. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  16. Peter C.B. Phillips, 1985. "Understanding Spurious Regressions in Econometrics," Cowles Foundation Discussion Papers 757, Cowles Foundation for Research in Economics, Yale University.
  17. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July.
  18. Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics.
  19. Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 193-215, April.
  20. Wu, De-Min, 1973. "Alternative Tests of Independence Between Stochastic Regressors and Disturbances," Econometrica, Econometric Society, vol. 41(4), pages 733-50, July.
  21. Arthur Lewbel & Serena Ng, 2005. "Demand Systems with Nonstationary Prices," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 479-494, August.
  22. Nelson, Charles R & Kang, Heejoon, 1984. "Pitfalls in the Use of Time as an Explanatory Variable in Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(1), pages 73-82, January.
  23. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  24. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
  25. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-51, May.
  26. Jaebeom Kim, 2005. "Convergence Rates to Purchasing Power Parity for Traded and Nontraded Goods: A Structural Error-Correction Model Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 76-86, January.
  27. Peter C. B. Phillips, 1998. "New Tools for Understanding Spurious Regressions," Econometrica, Econometric Society, vol. 66(6), pages 1299-1326, November.
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