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Asymptotic Power Advantages of Long-Horizon Regressions

Nelson Mark () and Donggyu Sul ()

No 145, Working Papers from Department of Economics, The University of Auckland

Abstract: Local asymptotic power advantages are available for testing the hypothesis that the slope coefficient is zero in regressions of yt+k- yton xtfor k > 1, when { yt} ~ I(0) and {xt} ~ I(0). The advantages of these long-horizon regression tests accrue in empirically relevant regions of the admissible parameter space. In Monte Carlo experiments, small sample power advantages to long-horizon regression tests accrue in a region of the parameter space that is larger than that predicted by the asymptotic analysis.

Date: 2002
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