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REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES

Published online by Cambridge University Press:  24 September 2002

Michael Jansson
Affiliation:
University of California, Berkeley
Niels Haldrup
Affiliation:
University of Aarhus

Abstract

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

Type
Research Article
Copyright
© 2002 Cambridge University Press

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