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Optimal Inference in Regression Models with Nearly Integrated Regressors
Author(s) -
Jansson Michael,
Moreira Marcelo J.
Publication year - 2006
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/j.1468-0262.2006.00679.x
Subject(s) - bivariate analysis , inference , regression , regression analysis , econometrics , mathematics , statistics , class (philosophy) , computer science , artificial intelligence
This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian asymptotic power envelopes are obtained for a class of testing procedures that satisfy a conditionality restriction. In addition, the paper proposes testing procedures that attain these power envelopes whether or not the innovations of the regression model are normally distributed.