Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

Journal of Econometrics 149 巻 2 号 118-135 頁 2009-04 発行
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タイトル ( eng )
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
作成者
Kurozumi Eiji
収録物名
Journal of Econometrics
149
2
開始ページ 118
終了ページ 135
抄録
In this paper, we analytically investigate three efficient estimators for cointegrating regression models: Phillips and Hansen's [Phillips, P.C.B., Hansen, B.E., 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57, 99–125] fully modified OLS estimator, Park's [Park, J.Y., 1992. Canonical cointegrating regressions. Econometrica 60, 119–143] canonical cointegrating regression estimator, and Saikkonen's [Saikkonen, P., 1991. Asymptotically efficient estimation of cointegration regressions. Econometric Theory 7, 1–21] dynamic OLS estimator. We consider the case where the regression errors are moderately serially correlated and the AR coefficient in the regression errors approaches 1 at a rate slower than 1/T, where T represents the sample size. We derive the limiting distributions of the efficient estimators under this system and find that they depend on the approaching rate of the AR coefficient. If the rate is slow enough, efficiency is established for the three estimators; however, if the approaching rate is relatively faster, the estimators will have the same limiting distribution as the OLS estimator. For the intermediate case, the second-order bias of the OLS estimator is partially eliminated by the efficient methods.

This result explains why, in finite samples, the effect of the efficient methods diminishes as the serial correlation in the regression errors becomes stronger. We also propose to modify the existing efficient estimators in order to eliminate the second-order bias, which possibly remains in the efficient estimators. Using Monte Carlo simulations, we demonstrate that our modification is effective when the regression errors are moderately serially correlated and the simultaneous correlation is relatively strong.
著者キーワード
cointegration
second-order bias
fully modified regressions
canonical cointegrating regressions
dynamic ordinary least squares regressions
NDC分類
経済 [ 330 ]
言語
英語
資源タイプ 学術雑誌論文
出版者
Elsevier B.V.
発行日 2009-04
権利情報
Copyright (c) 2008 Elsevier B.V.
出版タイプ Author’s Original(十分な品質であるとして、著者から正式な査読に提出される版)
アクセス権 オープンアクセス
収録物識別子
[ISSN] 0304-4076
[DOI] 10.1016/j.jeconom.2008.11.003
[NCID] AA00251673
[DOI] http://dx.doi.org/10.1016/j.jeconom.2008.11.003 ~の異版である