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FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS

Published online by Cambridge University Press:  23 May 2006

Helle Bunzel
Helle Bunzel
Affiliation:
Iowa State University
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Abstract

This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.I thank Tim Vogelsang for his guidance, Pentti Saikkonen for the promptness with which he provided me with an old working paper of his, Wayne Fuller for several discussions, and an anonymous referee for many helpful comments. The usual disclaimer applies.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 22 , Issue 4 , August 2006 , pp. 743 - 755
Copyright
© 2006 Cambridge University Press

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