Optimal Inference in Regression Models with Nearly Integrated Regressors
研究高度持久回归变量下回归系数的推断问题，推导了高斯渐近功效包络，并提出了达到该包络的检验方法，无论误差是否正态分布。
This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian asymptotic power envelopes are obtained for a class of testing procedures that satisfy a conditionality restriction. In addition, the paper proposes testing procedures that attain these power envelopes whether or not the innovations of the regression model are normally distributed. Copyright The Econometric Society 2006.