کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096033 1376498 2014 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Identification robust inference in cointegrating regressions
ترجمه فارسی عنوان
شناسایی استنتاج قوی در رگرسونهای همپوشانی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence sets for the long-run coefficient (denoted β) are proposed that invert LR-tests against an unrestricted or a cointegration-restricted alternative. For empirically relevant special cases, we provide analytical solutions to the inversion problem. A simulation study, imposing and relaxing strong exogeneity, analyzes our methods relative to standard Maximum Likelihood, Fully Modified and Dynamic OLS, and a stationarity-test based counterpart. In contrast with all the above, proposed methods have good size regardless of the identification status, and good power when β is identified.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 182, Issue 2, October 2014, Pages 385-396
نویسندگان
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