Testing for an irrelevant regressor in a simple cointegration analysis

This paper investigates the asymptotic behavior of the t-ratio associated to an irrelevant variable in a three-variable cointegration analysis. It is proved that the t-ratio converges to a non-standard distribution suitable for statistical inference. Although the test-statistic is not pivotal when the innovations are serially correlated, Monte Carlo evidence suggests that the size distortion can be considerably mitigated by means of HAC standard errors.

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Year of publication:	2010
Authors:	Ventosa-santaulària, Daniel
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 30.2010, 2, p. 1333-1345
Publisher:	AccessEcon
Subject:	Irrelevant variables \| cointegration \| t-ratio \| statistical inference

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C1 - Econometric and Statistical Methods: General ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008577386