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Optimal Inference in Regression Models with Nearly Integrated Regressors

โœ Scribed by Michael Jansson; Marcelo J. Moreira


Book ID
111052536
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
241 KB
Volume
74
Category
Article
ISSN
0012-9682

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We consider the problem of statistical inference in a bivariate time series regression model when the innovations are heavy-tailed and the OLS estimator is used for parameter estimation. We develop the asymptotic theory for the OLS estimator and the corresponding t-statistics. Limit distributions, t