文章基本信息

标题：Testing for an irrelevant regressor in a simple cointegration analysis
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作者：Daniel Ventosa-santaulària
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2010
卷号：30
期号：2
页码：1333-1345
出版社：Economics Bulletin
摘要：This paper investigates the asymptotic behavior of the t-ratio associated to an irrelevant variable in a three-variable cointegration analysis. It is proved that the t-ratio converges to a non-standard distribution suitable for statistical inference. Although the test-statistic is not pivotal when the innovations are serially correlated, Monte Carlo evidence suggests that the size distortion can be considerably mitigated by means of HAC standard errors