Bunzel, Helle

Econometric Theory Vol. 22 no. 4 (August 2006): 743-756. (Originally published as WP #03024, August 2003)

This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.

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