Identification robust inference in cointegrating regressions
L Khalaf, G Urga - Journal of Econometrics, 2014 - Elsevier
In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence …
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In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence …