全球智库信息集成服务系统(G2TT): Low-Frequency Robust Cointegration Testing

G2TT

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.