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
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)
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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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