A New Approach to Robust Inference in Cointegration
نویسندگان
چکیده
A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. JEL Classi cation: C12; C14; C22 Keywords: Cointegration, HAC estimation, robust inference, steep origin kernel, fully modi ed estimation. Corresponding author. Guanghua School of Management, Peking University, Beijing, 100871, PR. China. Tel: 86-10-62756274, fax: 86-10-62753820, email: [email protected]
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