Regression theory for nearly cointegrated time series

被引：8

作者：

Jansson, M

Haldrup, N

机构：

[1] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA

[2] Univ Aarhus, DK-8000 Aarhus C, Denmark

来源：

ECONOMETRIC THEORY | 2002年 / 18卷 / 06期

关键词：

D O I：

10.1017/S0266466602186026

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

引用

页码：1309 / 1335

页数：27

共 46 条

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[2]

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