کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097323 | 1376582 | 2008 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust estimation for structural spurious regressions and a Hausman-type cointegration test
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Robust estimation for structural spurious regressions and a Hausman-type cointegration test Robust estimation for structural spurious regressions and a Hausman-type cointegration test](/preview/png/5097323.png)
چکیده انگلیسی
This paper analyzes an approach to correcting spurious regressions involving unit-root nonstationary variables by generalized least squares (GLS) using asymptotic theory. This analysis leads to a new robust estimator and a new test for dynamic regressions. The robust estimator is consistent for structural parameters not just when the regression error is stationary but also when it is unit-root nonstationary under certain conditions. We also develop a Hausman-type test for the null hypothesis of cointegration for dynamic ordinary least squares (OLS) estimation. We demonstrate our estimation and testing methods in three applications: (i) long-run money demand in the U.S., (ii) output convergence among industrial and developing countries, and (iii) purchasing power parity (PPP) for traded and non-traded goods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 327-351
Journal: Journal of Econometrics - Volume 142, Issue 1, January 2008, Pages 327-351
نویسندگان
Chi-Young Choi, Ling Hu, Masao Ogaki,