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- Title
ON THE ROBUSTNESS OF COINTEGRATION METHODS WHEN REGRESSORS ALMOST HAVE UNIT ROOTS.
- Authors
Elliott, Graham
- Abstract
The article examines the robustness of cointegration methods when regressors almost have unit roots. A number of techniques were devised to estimate and undertake hypothesis testing on cointegrating vectors. Economic theories often derive relationships between economic quantities that hold over long periods of time. It is shown that cointegration can be an empirically useful method to model economic relationships. It is shown analytically, using local to unity asymptotic approximations that point estimates of cointegrating vectors remain consistent, commonly applied hypothesis tests no longer have the usual distribution when roots are near but not one.
- Subjects
COINTEGRATION; REGRESSION analysis; ECONOMICS; MATHEMATICAL variables; VECTOR analysis; ASYMPTOTIC expansions
- Publication
Econometrica, 1998, Vol 66, Issue 1, p149
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/2998544