A new approach to robust inference in cointegration

Economics Letters

Volumn 91, Issue 2, 2006, Pages 300-306

  Jin, Sainan ^a   Phillips, Peter C B ^b,c,d   Sun, Yixiao ^e  

^a Peking University   (China)

^b YALE UNIVERSITY   (United States)

^c UNIVERSITY OF AUCKLAND   (New Zealand)

^d UNIVERSITY OF YORK   (United Kingdom)

^e UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Cointegration; Fully modified estimation; HAC estimation; Robust inference; Steep origin kernel

Indexed keywords

EID: 33646355420     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.12.019     Document Type: Article

References (10)

1. Andrews D.W.K. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59 (1991) 817-854
2. Jansson M. On the error of rejection probability in simple autocorrelation robust tests. Econometrica 72 (2004) 937-946
3. Jin S., Phillips P.C.B., and Sun Y. A new approach to robust inference in cointegration (full version). Cowles Foundation Discussion Paper vol. 1538 (2005), Yale University
4. Kiefer N.M., and Vogelsang T.J. Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size. Econometric Theory 18 (2002) 1350-1366
5. Kiefer N.M., and Vogelsang T.J. Heteroskedasticity-autocorrelation robust standard errors using the bartlett kernel without truncation. Econometrica 70 (2002) 2093-2095
6. Kiefer N.M., and Vogelsang T.J. A new asymptotic theory for heteroskedasiticy-autocorrelation robust tests. Econometric Theory 21 (2005) 1130-1164
7. Phillips P.C.B., and Solo V. Asymptotics for linear processes. Annals of Statistics 20 (1992) 971-1001
8. Phillips, P.C.B., Sun, Y., Jin, S., in press-a. Long run variance estimation and robust regression testing using sharp origin kernels with no truncation, Journal of Statistical Planning and Inference.
9. Phillips, P.C.B., Sun, Y., Jin, S., in press-b. Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation. International Economic Review.
10. Phillips, P.C.B., Sun, Y., Jin S. 2005, Improved HAR Inference Using Power Kernels without Truncation, Yale University, mimeographed.