FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS

Helle Bunzel

Econometric Theory, 2006, vol. 22, issue 04, pages 743-755

Abstract: This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.I thank Tim Vogelsang for his guidance, Pentti Saikkonen for the promptness with which he provided me with an old working paper of his, Wayne Fuller for several discussions, and an anonymous referee for many helpful comments. The usual disclaimer applies.

Date: 2006

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