Fixed bandwidth asymptotics in single equation models of cointegration with an application to money demand
Journal or Book Title
First Page or Article ID Number
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.
C12, C15, C22
Bunzel, Helle, "Fixed bandwidth asymptotics in single equation models of cointegration with an application to money demand" (2006). Economics Publications. 124.