• Title of article

    A new approach to robust inference in cointegration

  • Author/Authors

    Sainan Jin، نويسنده , , Peter C.B. Phillips، نويسنده , , Yixiao Sun، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2006
  • Pages
    7
  • From page
    300
  • To page
    306
  • Abstract
    A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.
  • Keywords
    HAC estimation , Cointegration , Steep origin kernel , Fully modified estimation , Robust inference
  • Journal title
    Economics Letters
  • Serial Year
    2006
  • Journal title
    Economics Letters
  • Record number

    435934

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=435934