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Asymptotic Power Advantages of Long-Horizon Regressions

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  • Mark, Nelson
  • Sul, Donggyu

Abstract

Local asymptotic power advantages are available for testing the hypothesis that the slope coefficient is zero in regressions of yt+k- yton xtfor k > 1, when { yt} ~ I(0) and {xt} ~ I(0). The advantages of these long-horizon regression tests accrue in empirically relevant regions of the admissible parameter space. In Monte Carlo experiments, small sample power advantages to long-horizon regression tests accrue in a region of the parameter space that is larger than that predicted by the asymptotic analysis.

Suggested Citation

  • Mark, Nelson & Sul, Donggyu, 2002. "Asymptotic Power Advantages of Long-Horizon Regressions," Working Papers 145, Department of Economics, The University of Auckland.
  • Handle: RePEc:auc:wpaper:145
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    File URL: http://hdl.handle.net/2292/145
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    Cited by:

    1. Todd Clark & Michael McCracken, 2005. "Evaluating Direct Multistep Forecasts," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 369-404.

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    Keywords

    Economics;

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