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

  • Bunzel, Helle

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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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
Date of revision:
Publication status: Published in Econometric Theory, August 2006, vol. 22 no. 4, pp. 743-756
Handle: RePEc:isu:genres:10685
Contact details of provider: 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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  9. 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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  17. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
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