Publication Type
Journal Article
Version
submittedVersion
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
Citation
JIN, Sainan; PHILLIPS, Peter; and SUN, Yixiao.
A new approach to robust inference in cointegration. (2005). Economics Letters. 91, (1), 300-306.
Available at: https://ink.library.smu.edu.sg/soe_research/1981
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org./10.1016/j.econlet.2005.12.019