Working Paper

Fully modified estimation with nearly integrated regressors


Abstract: I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results.

Keywords: Regression analysis;

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File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/2006/854/ifdp854.pdf

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: International Finance Discussion Papers

Publication Date: 2006

Number: 854