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.

Keywords: Economics (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/2292/145

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:auc:wpaper:145

Access Statistics for this paper

More papers in Working Papers from Department of Economics, The University of Auckland Contact information at EDIRC.
Bibliographic data for series maintained by Library Digital Development ().