TY  - JOUR
AU  - Müller,Ulrich
AU  - Watson,Mark W.
TI  - Low-Frequency Robust Cointegration Testing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15292
PY  - 2009
Y2  - August 2009
UR  - http://www.nber.org/papers/w15292
L1  - http://www.nber.org/papers/w15292.pdf
N1  - Author contact info:
Ulrich Mueller
Department of Economics
Princeton University
Princeton, NJ 08544-1013
E-Mail: umueller@princeton.edu

Mark W. Watson
Department of Economics
Princeton University
Princeton, NJ 08544-1013
Tel: 609/258-4811
Fax: 609/258-5533
E-Mail: mwatson@princeton.edu
AB  - 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.
ER  -