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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 coefficient 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.nber.org/papers/t0303.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0303.

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Date of creation: Nov 2004
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Handle: RePEc:nbr:nberte:0303
Note: TWP
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