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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Testing the Hypothesis on the Cointegrating Vector When Data May Have a Near Unit Root

Vol.22, No.1, March , 1–27



  •   (College of Business Administration, Seoul National University)

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Abstract  

This paper considers the size distortion problem when testing the hypothesis on the cointegrating vector. The test on the cointegrating vector tends to be erroneously rejected. We propose constructing a valid confidence interval by application of the Bonferroni's inequality, and compare the performance to another alternative procedure.


Keywords
   Cointegration, Local-to-unity, Bonferroni procedure

JEL classification codes
   C12, C32
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