Optimal Inference in Regression Models with Nearly Integrated Regressors
نویسندگان
چکیده
منابع مشابه
Optimal Inference in Regression Models with Nearly Integrated Regressors∗
A . This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian asymptotic power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes testing procedures that attain these power envelopes whether or not the innovation...
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متن کاملSupplement to “Optimal inference in a class of regression models”
This supplement provides appendices not included in the main text. Supplemental Appendix C compares our approach with other methods, and includes a Monte Carlo study. Supplemental Appendix D contains details for the results in Section 3 not included in the main text. Supplemental Appendix E contains details for the RD application. Supplemental Appendix F considers feasible versions of the proce...
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This paper discusses complications that arise in the theory of nonlinear estimation in the presence of integrated regressors. A high-level asymptotic distribution theorem is established and convergence rates for nonlinear least squares estimators are derived.
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ژورنال
عنوان ژورنال: Econometrica
سال: 2006
ISSN: 0012-9682,1468-0262
DOI: 10.1111/j.1468-0262.2006.00679.x