Publication Type

Journal Article

Publication Date

10-2005

Abstract

A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.

Keywords

Cointegration, HAC estimation, Robust inference, Steep origin kernel, Fully modified estimation

Discipline

Econometrics | Economic Theory

Research Areas

Econometrics

Publication

Economics Letters

Volume

91

Issue

1

First Page

300

Last Page

306

ISSN

0165-1765

Identifier

10.1016/j.econlet.2005.12.019

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org./10.1016/j.econlet.2005.12.019

Share

COinS