Note on Testing for Linear Trends in Cointegrating Regressions
Note on Testing for Linear Trends in Cointegrating Regressions
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.33 No.4
-
2022.1254 - 76 (23 pages)
- 8
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).
1. INTRODUCTION
2. MODEL SETUP AND PRELIMINARY RESULTS
3. INFERENCE FOR THE TREND COEFFICIENT
4. SIMULATION STUDY
5. EMPIRICAL APPLICATION
6. CONCLUSION
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