EFFICIENT DETRENDING IN COINTEGRATING REGRESSION

Zhijie Xiao and Peter C. B. Phillips ()

Econometric Theory, 1999, vol. 15, issue 04, pages 519-548

Abstract: This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to infinity.

Date: 1999
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:04:p:519-548_15

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