@techreport{NBERt0303,
 title = "Optimal Inference in Regression Models with Nearly Integrated Regressors",
 author = "Michael Jansson and Marcelo J. Moreira",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Technical Working Paper Series",
 number = "303",
 year = "2004",
 month = "November",
 URL = "http://www.nber.org/papers/t0303",
 abstract = {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.},
}