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Optimal Inference in Regression Models with Nearly Integrated Regressors

  • Michael Jansson
  • Marcelo J. Moreira

This paper considers the problem of conducting inference on the regression coeffcient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.

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File URL: http://www.economics.harvard.edu/pub/hier/2004/HIER2047.pdf
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Paper provided by Harvard - Institute of Economic Research in its series Harvard Institute of Economic Research Working Papers with number 2047.

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Date of creation: 2004
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Handle: RePEc:fth:harver:2047
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