Khalaf, Lynda; Urga, Giovanni - In: Journal of Econometrics 182 (2014) 2, pp. 385-396
In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence sets for the long-run coefficient (denoted β) are proposed that invert LR-tests against an unrestricted or a...