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Sainan Jin Publications

Publish Date
Economics Letters
Abstract

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. The present contribution makes use of steep origin kernels which are obtained by exponentiating traditional quadratic kernels. Simulations indicate that tests based on these methods have improved size properties relative to conventional tests and better power properties than other tests that use Bartlett or other traditional kernels with no truncation.

JEL Classification: C12; C14; C22

Keywords: Cointegration, HAC estimation, long-run covariance matrix, robust inference, steep origin kernel, fully modified estimation

Economics Letters
Abstract

It is shown that the KPSS test for stationarity may be applied without change to regressions with seasonal dummies. In particular, the limit distribution of the KPSS statistic is the same under both the null and alternative hypotheses whether or not seasonal dummies are used.

Keywords: KPSS test, Seasonal dummies, Stationarity test, Unit root

JEL Classification: C32