Optimal Inference in Regression Models with Nearly Integrated Regressors / Michael Jansson, Marcelo J. Moreira.

Format:

Book

Author/Creator:

Jansson, Michael.

Contributor:

National Bureau of Economic Research.

Moreira, Marcelo J.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0303.

NBER technical working paper series no. t0303

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2004.

Summary:

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.

Notes:

Print version record

November 2004.