Estimating Cointegrating Relationships When There Is Uncertainty About The Time Series Properties of
A limitation of the current practice of pre-testing for unit roots before modelling cointegration is that unit root tests have low power in finite samples. As a result, series may be misclassified and estimation and inference dramatically affected. Phillips (1995) proposes a method based on the principle of fully modified least squares that can be used for estimation and inference whether the series are stationary, nonstationary or a mixture of both. Sheldon (1997) also proposes an IV method that deals with the case where the size of the root in the regressor is not known a priori. In an application to UK consumers' expenditure we show how the appropriate estimator may be chosen in the light of the available information.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Feb 1998|
|Contact details of provider:|| Postal: 2 Dean Trench Street Smith Square London SW1P 3HE|
Web page: http://niesr.ac.uk
When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:207. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library & Information Manager)
If references are entirely missing, you can add them using this form.