FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
利用固定带宽渐近理论，提出了一种在单方程协整模型中检验协整参数的新方法，证明即使回归变量是内生的，标准检验的渐近分布仍不受序列相关干扰参数影响。
This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.I thank Tim Vogelsang for his guidance, Pentti Saikkonen for the promptness with which he provided me with an old working paper of his, Wayne Fuller for several discussions, and an anonymous referee for many helpful comments. The usual disclaimer applies.