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Optimal inference in regression models with nearly integrated regressors. (English) Zbl 1128.62070

Summary: 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.

MSC:

62H15 Hypothesis testing in multivariate analysis
62J02 General nonlinear regression