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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w15292 |
来源ID | Working Paper 15292 |
Low-Frequency Robust Cointegration Testing | |
Ulrich Müller; Mark W. Watson | |
发表日期 | 2009-08-27 |
出版年 | 2009 |
语种 | 英语 |
摘要 | 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. |
主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles |
URL | https://www.nber.org/papers/w15292 |
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/572967 |
推荐引用方式 GB/T 7714 | Ulrich Müller,Mark W. Watson. Low-Frequency Robust Cointegration Testing. 2009. |
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 | ||
w15292.pdf(664KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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