Fully modified estimation with nearly integrated regressors

Erik Hjalmarsson ()
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Erik Hjalmarsson: https://www.gu.se/en/about/find-staff/erikhjalmarsson

No 854, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results.

Keywords: Regression; analysis (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Fully modified estimation with nearly integrated regressors (2007)
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