TY  - JOUR
AU  - Jansson,Michael
AU  - Moreira,Marcelo J.
TI  - Optimal Inference in Regression Models with Nearly Integrated Regressors
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 303
PY  - 2004
Y2  - November 2004
UR  - http://www.nber.org/papers/t0303
L1  - http://www.nber.org/papers/t0303.pdf
N1  - Author contact info:
Michael Jansson
UC, Berkeley
E-Mail: mjansson@econ.berkeley.edu

Marcelo Moreira
5470 Hutchinson Road
Sebastopol, CA 95472
E-Mail: moreira.marcelo.j@gmail.com
AB  - 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.
ER  -