Fixed bandwidth asymptotics in single equation models of cointegration with an application to money demand

Helle Bunzel

ISU General Staff Papers from Iowa State University, Department of Economics

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.

Date: 2006-01-01
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