Note on Testing for Linear Trends in Cointegrating Regressions
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
In this study, I address the testing problem on the regression trend slope in cointegrating regressions when the stochastic regressors have nonzero drifts. A test statistic constructed using demeaned integrated modified ordinary least squares (IMOLS) residuals is considered. Asymptotic theory for the test is developed under the standard small-b framework, resorting to the consistency of heteroskedasticity and autocorrelation consistent (HAC) estimator. The simulation experiment shows the proposed test performs reasonably compared to the existing fully modified OLS-based test in Hansen (1992b).
Abstract
In this study, I address the testing problem on the regression trend slope in cointegrating regressions when the stochastic regressors have nonzero drifts. A test statistic constructed using demeaned integrated modified ordinary least squares (IMOLS) residuals is considered. Asymptotic theory for the test is developed under the standard small-b framework, resorting to the consistency of heteroskedasticity and autocorrelation consistent (HAC) estimator. The simulation experiment shows the proposed test performs reasonably compared to the existing fully modified OLS-based test in Hansen (1992b).
참고문헌 (18)
- Andrews, D. W. K., "Heteroskedasticity and autocorrelation consistent covariance matrix estimation", Econometrica, 59, pp.817~854 (1991)
- Campbell, J. Y., "Pitfalls and opportunities : What macroe-conomists should know about unit roots", NBER Macroeconomic Annual, 6, pp.141~201 (1991)
- Cho, C. K., "Tests of the null of cointegration using Integrated and Mod-ified OLS residuals" (2022)
- Cho, C. K., "Self-normalization inference for linear trends in cointegrat-ing regressions" (2022)
- Han, H.L., "Consumption, income and cointegration", International Review of Economics & Finance, 6(2), pp.107~117 (1997)
- Hansen, B. E., "Consistent covariance matrix estimation for dependent heterogenous processes", Econometrica, 60, pp.967~972 (1992)
- Hansen, B. E., "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends", Journal of Econometrics, 53, pp.87~121 (1992)
- Jansson, M., "Consistent covariance estimation for linear processes", Econometric Theory, 18, pp.1449~1459 (2002)
- Kakkar, V., "Real exchange rates and non-tradables : A relative price approach", Journal of Empirical Finance, 6(2), pp.193~215 (1999)
- Lettau, M., "Consumption, aggregate wealth, and ex-pected stock returns", the Journal of Finance, 56(3), pp.815~849 (2001)
- Mikayilov, J. I., "The impact of economic growth on CO2 emissions in Azerbaijan", Journal of cleaner production, 197, pp.1558~1572 (2018)
- Newey, W. K., "A simple, positive semi-definite, het-eroskedasticity and autocorrelation consistent covariance matrix", Economet-rica, 55, pp.703~708 (1987)
- Ogaki, M., "Engel’s law and cointegration", Journal of Political Econ-omy, 100(5), pp.1027~1046 (1992)
- Ogaki, M., "A cointegration approach to estimating pref-erence parameters", Journal of Econometrics, 82, pp.107~134 (1997)
- Perron, P., "A note on Johansen’s cointegration pro-cedure when trends are present", Empirical Economics, 18, pp.777~790 (1993)
- Perron, P., "Residuals-based tests for cointegration with generalized least-squares detrended data", The Econometrics Journal, 19, pp.84~111 (2016)
- Vogelsang, T. J., "Integrated modified OLS estimation and fixed-b inference for cointegrating regressions", Journal of Econometrics, 178, pp.741~760 (2014)
- Wagner, M., "The environmental Kuznets curve, cointegration and non-linearity", Journal of Applied Econometrics, 30(6), pp.948~967 (2015)