全球智库信息集成服务系统(G2TT): Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/t0122
来源ID	Technical Working Paper 0122
	Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
	Graham Elliott; James H. Stock
发表日期	1992-06-01
出版年	1992
语种	英语
摘要	It is well known that the distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice the order of integration is rarely blown. This paper examines two conventional approaches to this problem, finds them unsatisfactory, and proposes a new procedure. The two conventional approaches- simply to ignore unit root problems or to use unit root pretests to determine the critical values for second-stage inference - both often induce substantial size distortions. In the case of unit root pretests, this arises because type I and II pretest errors produce incorrect second-stage critical values and because, in many empirically plausible situations, the first stage test (the unit root test) and the second stage test (the exclusion restriction test) are dependent. Monte Carlo simulations reveal size distortions even if the regressor is stationary but has a large autoregressive root, a case that might arise for example in a regression of excess stock returns against the dividend yield. In the proposed alternative procedure, the second-stage test is conditional on a first-stage "unit root" statistic developed in Stock (1992); the second-stage critical values vary continuously with the value of the first-stage statistic. The procedure is shown to have the correct size asymptotically and to have good local asymptotic power against Granger-causality alternatives.
主题	Econometrics ; Estimation Methods
URL	https://www.nber.org/papers/t0122
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/561431
推荐引用方式 GB/T 7714	Graham Elliott,James H. Stock. Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown. 1992.

条目包含的文件
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t0122.pdf（2234KB）	智库出版物		限制开放	CC BY-NC-SA	浏览