Fully modified estimation with nearly integrated regressors
We couldn't estimate the reading time for this book.
Author
Publication
2006 - Federal Reserve Board, Washington, D.C, District of Columbia
Language
English
Word Count
0 words, Guess
Page Count
0 pages
Physical Format
Electronic resource
Identifiers
- Library of Congress Control Number2006619351
- Open LibraryOL31759688M
Classifications
- LCCHG3879
Description
"I show that the test procedure derived by Campbell and Yogo (2005, Journal of Financial Economics, forthcoming) for regressions with nearly integrated variables can be interpreted as the natural t-test resulting from a fully modified estimation with near-unit-root regressors. This clearly establishes the methods of Campbell and Yogo as an extension of previous unit-root results"--Federal Reserve Board web site.
Subjects
Series Statement
- International finance discussion papers -- no. 854
- International finance discussion papers (Online) -- no. 854.
Links
Reader Reviews
No reviews yet for this book.
Be the first to share your thoughts!