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Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
https://hiroshima.repo.nii.ac.jp/records/2007319
https://hiroshima.repo.nii.ac.jp/records/2007319cd4d1f7f-dfe2-407a-8b43-cc6a692e14d1
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
JEconometrics_149_118.pdf (250.1 KB)
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| Item type | デフォルトアイテムタイプ_（フル）(1) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2023-03-18 | |||||||||
| タイトル | ||||||||||
| タイトル | Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors | |||||||||
| 言語 | en | |||||||||
| 作成者 |
Kurozumi, Eiji
× Kurozumi, Eiji
× Hayakawa, Kazuhiko
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 権利情報 | ||||||||||
| 権利情報 | Copyright (c) 2008 Elsevier B.V. | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | cointegration | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | second-order bias | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | fully modified regressions | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | canonical cointegrating regressions | |||||||||
| 主題 | ||||||||||
| 主題Scheme | Other | |||||||||
| 主題 | dynamic ordinary least squares regressions | |||||||||
| 主題 | ||||||||||
| 主題Scheme | NDC | |||||||||
| 主題 | 330 | |||||||||
| 内容記述 | ||||||||||
| 内容記述 | 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. | |||||||||
| 言語 | en | |||||||||
| 出版者 | ||||||||||
| 出版者 | Elsevier B.V. | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||||||
| 資源タイプ | journal article | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | AO | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_b1a7d7d4d402bcce | |||||||||
| 関連情報 | ||||||||||
| 識別子タイプ | DOI | |||||||||
| 関連識別子 | 10.1016/j.jeconom.2008.11.003 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isVersionOf | |||||||||
| 識別子タイプ | DOI | |||||||||
| 関連識別子 | http://dx.doi.org/10.1016/j.jeconom.2008.11.003 | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | ISSN | |||||||||
| 収録物識別子 | 0304-4076 | |||||||||
| 収録物識別子 | ||||||||||
| 収録物識別子タイプ | NCID | |||||||||
| 収録物識別子 | AA00251673 | |||||||||
| 開始ページ | ||||||||||
| 開始ページ | 118 | |||||||||
| 書誌情報 |
Journal of Econometrics Journal of Econometrics 巻 149, 号 2, p. 118-135, 発行日 2009-04 |
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| 旧ID | 26403 | |||||||||
