Low-Frequency Robust Cointegration Testing

Ulrich Müller and Mark Watson

No 15292, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust to this potential misspecification. A simple test motivated by the analysis in Wright (2000) is developed and shown to be approximately optimal in the case of a single cointegrating vector.

JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2009-08
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-ets
Note: TWP
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Published as Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.

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Journal Article: Low-frequency robust cointegration testing (2013)
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