Optimal Inference in Regression Models with Nearly Integrated Regressors

Michael Jansson and Marcelo Moreira

No 2047, Harvard Institute of Economic Research Working Papers from Harvard - Institute of Economic Research

Abstract: This paper considers the problem of conducting inference on the regression coeffcient 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.

Date: 2004
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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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Persistent link: https://EconPapers.repec.org/RePEc:fth:harver:2047

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