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- W2243431714 abstract "In this paper we discuss the asymptotically almost efficient estimation of a univariate staticcointegrating regression relationship when we take into account the deterministic structure ofthe integrated regressors, in a slightly more general framework that considered by Hansen(1992). After reviewing the properties of OLS and Fully Modified OLS (FM-OLS) estimationin this framework, we consider the analysis of the recently proposed Integrated Modified OLS(IM-OLS) estimator by Vogelsang and Wagner (2011) of the cointegrating vector and propose anew proper specification of the integrated modified cointegrating regression equation. Thisalternative method of bias removal has the advantage over the existing methods that does notrequire any tuning parameters, such as kernel functions and bandwidths, or lags. Also, based onthe sequence of IM-OLS residuals, we propose some new test statistics based on differentmeasures of excessive fluctuation for testing the null hypothesis of cointegration against thealternative of no cointegration. For these test statistics we derive their asymptotic null andalternative distributions, provide the relevant quantiles of the null distribution, and study theirfinite sample power performance under no cointegration through a simulation experiment." @default.
- W2243431714 created "2016-06-24" @default.
- W2243431714 creator A5062758827 @default.
- W2243431714 date "2013-01-01" @default.
- W2243431714 modified "2023-09-26" @default.
- W2243431714 title "Integrated Modified OLS estimation of cointegrating regressions with deterministically trending integrated regressors and residual-based tests for cointegration" @default.
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