Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence

DOI10.1080/07350015.2023.2166513OpenAlexW4319838730MaRDI QIDQ6190778

Gonzalo Valdés, Jungbin Hwang

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07350015.2023.2166513

zbMATH Keywords

cointegration\(t\) test and \(F\) testsheteroscedasticity and autocorrelation-robust (HAR) inferencelow-frequency transformationtrasformed and augmented OLS (TA-OLS)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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