TY  - BOOK
AU  - Jansson,Michael
AU  - Moreira,Marcelo J.
ED  - National Bureau of Economic Research.
TI  - Optimal Inference in Regression Models with Nearly Integrated Regressors
T2  - NBER technical working paper series
PY  - 2004///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - November 2004; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/t0303
UR  - http://dx.doi.org/10.3386/t0303
ER  -