NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Optimal Inference in Regression Models with Nearly Integrated Regressors

Michael Jansson, Marcelo J. Moreira

NBER Technical Working Paper No. 303
Issued in November 2004
NBER Program(s):   TWP

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.

download in pdf format
   (426 K)

email paper

This paper is available as PDF (426 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/t0303

Users who downloaded this paper also downloaded these:
Campbell and Yogo w10026 Efficient Tests of Stock Return Predictability
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us