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A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun
A New Approach To Robust Inference In Cointegration, Sainan Jin, Peter Phillips, Yixiao Sun
Research Collection School Of Economics
A new approach to robust testing in cointegrated systems is proposed using non-parametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference.