Author:
Xiao Zhijie,Phillips Peter C.B.
Abstract
This paper studies efficient detrending in cointegrating
regression and develops modified tests for cointegration
that use efficient detrending procedures. Asymptotics for
these tests are derived. Monte Carlo experiments are conducted
to evaluate the detrending procedures in finite samples
and to compare tests for cointegration based on different
detrending procedures. The limit theory allows for increasingly
remote initial condition effects as the sample size goes
to infinity.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
19 articles.
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