Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors
Staff General Research Papers Archive from Iowa State University, Department of Economics
This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.
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Published in Econometric Theory, August 2006, vol. 22 no. 4, pp. 743-756
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Journal Article: FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:isu:genres:10685
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