Information about this author at RePEc
NBER Working Papers and Publications
|November 2004||Optimal Inference in Regression Models with Nearly Integrated Regressors|
with Marcelo J. Moreira: t0303
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.