Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests
提出一种替代方法，通过检验残差平稳性来推断协整向量，构建的置信集在回归元非精确单位根时仍有效，解决了标准方法不稳健的问题。
Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the cointegrating vector can be constructed by exploiting the equivalence between tests and confidence sets. This method has the advantage that it remains valid even if the regressors have roots that are not exactly equal to unity.