Robust estimation for structural spurious regressions and a Hausman-type cointegration test

Chi Young Choi, Ling Hu, Masao Ogaki

研究成果: Article査読

30 被引用数 (Scopus)

抄録

This paper analyzes an approach to correcting spurious regressions involving unit-root nonstationary variables by generalized least squares (GLS) using asymptotic theory. This analysis leads to a new robust estimator and a new test for dynamic regressions. The robust estimator is consistent for structural parameters not just when the regression error is stationary but also when it is unit-root nonstationary under certain conditions. We also develop a Hausman-type test for the null hypothesis of cointegration for dynamic ordinary least squares (OLS) estimation. We demonstrate our estimation and testing methods in three applications: (i) long-run money demand in the U.S., (ii) output convergence among industrial and developing countries, and (iii) purchasing power parity (PPP) for traded and non-traded goods.

本文言語English
ページ(範囲)327-351
ページ数25
ジャーナルJournal of Econometrics
142
1
DOI
出版ステータスPublished - 2008 1
外部発表はい

ASJC Scopus subject areas

  • 経済学、計量経済学

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