Optimal Inference in Regression Models with Nearly Integrated Regressors

Michael Jansson and Marcelo Moreira

No 303, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2004-11
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: TWP
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Citations: View citations in EconPapers (15)

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Journal Article: Optimal Inference in Regression Models with Nearly Integrated Regressors (2006)
Working Paper: Optimal Inference in Regression Models with Nearly Integrated Regressors (2004)
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