Fully modified estimation with nearly integrated regressors
By: Erik Hjalmarsson
Series: International finance discussion papers -- no. 854; International finance discussion papers (Online) -- no. 854.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] /
Description: "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"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/1/2006.

Includes bibliographical references.

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Mode of access: World Wide Web.