Low-Frequency Robust Cointegration Testing / Ulrich Müller, Mark W. Watson.

Format:

Book

Author/Creator:

Müller, Ulrich.

Contributor:

National Bureau of Economic Research.

Watson, Mark W.

Series:

Working Paper Series (National Bureau of Economic Research) no. w15292.

NBER working paper series no. w15292

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2009.

Summary:

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust to this potential misspecification. A simple test motivated by the analysis in Wright (2000) is developed and shown to be approximately optimal in the case of a single cointegrating vector.

Notes:

Print version record

August 2009.