Jansson, Michael. <br/><br/>
Optimal Inference in Regression Models with Nearly Integrated Regressors / 
Michael Jansson, Marcelo J. Moreira. 
 - Cambridge, Mass.  National Bureau of Economic Research  2004. 
 - 1 online resource:  illustrations (black and white); 
 - NBER technical working paper series  no. t0303 .
 - Technical Working Paper Series (National Bureau of Economic Research)  no. t0303. .
<br/><br/> November 2004. 
<br/><br/> This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed. 
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