Robust inference in nonstationary time series models

Zhijie Xiao

Journal of Econometrics, 2012, vol. 169, issue 2, 211-223

Abstract: This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important inference problems including testing stationarity against unit roots, testing for structure change in nonstationary regressions, and testing for cointegration. We analyze these inference problems in a unified regression framework, although separate analysis is given for each specific case when it is needed. The proposed inference procedures are constructed based on residuals of robust M-estimations. The limiting behavior of the proposed tests is investigated, and a Monte Carlo experiment is conducted. The proposed tests are easy to use and have advantages in the presence of non-Gaussian data.

Keywords: Cointegration; M-estimation; Robust inference; Structural change; Unit root (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:169:y:2012:i:2:p:211-223

DOI: 10.1016/j.jeconom.2012.01.027

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