Note on Testing for Linear Trends in Cointegrating Regressions

• 영문명: Note on Testing for Linear Trends in Cointegrating Regressions
• 발행기관: 한국계량경제학회
• 저자명: Cheol-Keun Cho
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.33 No.4, 54~76쪽, 전체 23쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 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).

목차

1. INTRODUCTION

2. MODEL SETUP AND PRELIMINARY RESULTS

3. INFERENCE FOR THE TREND COEFFICIENT

4. SIMULATION STUDY

5. EMPIRICAL APPLICATION

6. CONCLUSION

REFERENCES

키워드

Cointegration Drift HAC IMOLS