| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0303 |
| 来源ID | Technical Working Paper 0303 |
| Optimal Inference in Regression Models with Nearly Integrated Regressors | |
| Michael Jansson; Marcelo J. Moreira | |
| 发表日期 | 2004-11-08 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0303 |
| 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/568516 |
| 推荐引用方式 GB/T 7714 | Michael Jansson,Marcelo J. Moreira. Optimal Inference in Regression Models with Nearly Integrated Regressors. 2004. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0303.pdf（425KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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