このエントリーをはてなブックマークに追加
ID 26403
本文ファイル
著者
Kurozumi, Eiji
キーワード
cointegration
second-order bias
fully modified regressions
canonical cointegrating regressions
dynamic ordinary least squares regressions
NDC
経済
抄録(英)
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.
掲載誌名
Journal of Econometrics
149巻
2号
開始ページ
118
終了ページ
135
出版年月日
2009-04
出版者
Elsevier B.V.
ISSN
0304-4076
NCID
出版者DOI
言語
英語
NII資源タイプ
学術雑誌論文
広大資料タイプ
学術雑誌論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
author
権利情報
Copyright (c) 2008 Elsevier B.V.
関連情報URL(IsVersionOf)
http://dx.doi.org/10.1016/j.jeconom.2008.11.003
部局名
社会科学研究科