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Optimal Inference in Regression Models with Nearly Integrated Regressors

Michael Jansson () and Marcelo Moreira ()

No 303, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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

JEL-codes: C12 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-11
Note: TWP
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Journal Article: Optimal Inference in Regression Models with Nearly Integrated Regressors (2006) Downloads
Working Paper: Optimal Inference in Regression Models with Nearly Integrated Regressors (2004) Downloads
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