| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062361 | Economics Letters | 2006 | 7 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sainan Jin, Peter C.B. Phillips, Yixiao Sun,