International Finance Discussion Papers (IFDP)
January 2006
Fully Modified Estimation With Nearly Integrated Regressors
Erik Hjalmarsson
Abstract:
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.
Full paper (screen reader version)Keywords: Fully modified estimation, Near-unit-roots, Predictive regressions
PDF: Full Paper
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