NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Low-Frequency Robust Cointegration Testing

Ulrich Müller, Mark W. Watson

NBER Working Paper No. 15292
Issued in August 2009
NBER Program(s):   TWP

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust to this potential misspecification. A simple test motivated by the analysis in Wright (2000) is developed and shown to be approximately optimal in the case of a single cointegrating vector.

download in pdf format
   (665 K)

email paper

This paper is available as PDF (665 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w15292

Published: Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.

Users who downloaded this paper also downloaded these:
Bansal, Dittmar, and Kiku w13108 Cointegration and Consumption Risks in Asset Returns
Cheung and Chinn w5943 Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

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

Contact Us