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| dc.contributor.author | Mark, Nelson | en |
| dc.contributor.author | Sul, Donggyu | en |
| dc.date.accessioned | 2006-11-30T20:53:19Z | en |
| dc.date.available | 2006-11-30T20:53:19Z | en |
| dc.date.issued | 2002 | en |
| dc.identifier.citation | Department of Economics Working Paper Series 239 | en |
| dc.identifier.uri | http://hdl.handle.net/2292/145 | en |
| dc.description.abstract | Local asymptotic power advantages are available for testing the hypothesis that the slope coefficient is zero in regressions of yt+k- yton xtfor k > 1, when { yt} ~ I(0) and {xt} ~ I(0). The advantages of these long-horizon regression tests accrue in empirically relevant regions of the admissible parameter space. In Monte Carlo experiments, small sample power advantages to long-horizon regression tests accrue in a region of the parameter space that is larger than that predicted by the asymptotic analysis. | en |
| dc.format.extent | application/pdf | en |
| dc.format.mimetype | text | en |
| dc.language.iso | en | en |
| dc.publisher | ResearchSpace@Auckland | en |
| dc.relation.ispartofseries | Department of Economics Working Paper Series (1997-2006) | en |
| dc.rights | Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. | en |
| dc.rights.uri | https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm | en |
| dc.subject.other | Economics | en |
| dc.title | Asymptotic Power Advantages of Long-Horizon Regressions | en |
| dc.type | Working Paper | en |
| dc.rights.holder | Copyright: the author | en |
| dc.rights.accessrights | http://purl.org/eprint/accessRights/OpenAccess | en |
| pubs.org-id | Economics | en |
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